[URGENT] Trailing stop with price level is wrong!
b129.302
backtest: multicharts
median price ± N * ATR；
But I found that all trailing price are base on Close yet,
// long position Trailing Stop IntPriceLevel = {CustomBlock:median of high and low}(High[1] + Low[1] / 2); If IntPriceLevel > 0 and Close - EntryPrice >= Round2Fraction(0) and (IntLongTS = 0 or Round2Fraction(Close - IntPriceLevel) > IntLongTS) then begin IntLongTS = Round2Fraction(Close - IntPriceLevel); // remember also trailing stop end; If IntLongTS > 0 and IntLongTS > IntLongSL then begin Sell("LongTrailingStop") next bar at IntLongTS stop; LongSLPlaced = true; end;
So I tested the inside indicators,
By the way, the description of Stop/Limit entry blocks may be misleading. because it will not only affect entry orders, but also trailing stop exit.
I choose SAR and SMA in Stop/Limit entry blocks, and BarRange in Stop/Limit Price Ranges. I get something like this,
// long Trailing Stop IntPriceLevel = SQ_SMA(Close, SMAPeriod)[1] + (1.10 * SQ_BarRange[3]); If IntPriceLevel > 0 and Close - EntryPrice >= Round2Fraction(0) and (IntLongTS = 0 or Round2Fraction(Close - IntPriceLevel) > IntLongTS) then begin IntLongTS = Round2Fraction(Close - IntPriceLevel); // remember also trailing stop end; If IntLongTS > 0 and IntLongTS > IntLongSL then begin Sell("LongTrailingStop") next bar at IntLongTS stop; LongSLPlaced = true; end;
I guess the trailing price level is SQ_SMA(Close, SMAPeriod)[1] + (1.10 * SQ_BarRange[3]), And the IntLongTS is IntPriceLevel, not Close- IntPriceLevel.
close - sma for trailing stop price?! Very very unreasonable.
This is not same with trailing stop using ATR-based value (only base on Close price. But if we cant set the base price as High or low, it will be better.)
//Long Trailing Stop 2nd mode, atr-based value,
IntPriceLevel = EnterRvrAtMrkTrlStpCef * SQ_ATR(75)[1];
If IntPriceLevel > 0 and Close - EntryPrice >= Round2Fraction(0) and (IntLongTS = 0 or Round2Fraction(Close - IntPriceLevel) > IntLongTS) then begin
IntLongTS = Round2Fraction(Close - IntPriceLevel); // remember also trailing stop
end;
If IntLongTS > 0 and IntLongTS > IntLongSL then begin
Sell("LongTrailingStop") next bar at IntLongTS stop;
LongSLPlaced = true;
end;
The two are very different, one is price level actually, and one is price range, or allowable fallback, assuming the benchmark price is Close.
For Price level trailing type, I think this below will be right, But I am not sure. Maybe the dev team have better method.
// long Trailing 3. Stop price level type IntPriceLevel = SQ_SMA(Close, SMAPeriod)[1] + (1.10 * SQ_BarRange[3]); If IntPriceLevel > 0 and Close - IntPriceLevel >= Round2Fraction(0) and (IntLongTS = 0 or IntPriceLevel > IntLongTS) then begin IntLongTS = IntPriceLevel; // remember also trailing stop end; If IntLongTS > 0 and IntLongTS > IntLongSL then begin Sell("LongTrailingStop") next bar at IntLongTS stop; LongSLPlaced = true; end;
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Votes +3
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Project StrategyQuant X
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Type Bug
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Status Fixed
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Priority Normal
History
kainc301
07.09.2020 03:14eastpeace
07.09.2020 03:39But I am still not satisfied with some aspects, such as the initial stop loss with price range and some details of trailing stop loss.
Tomas Brynda
29.09.2020 15:34Status changed from New to Fixed
you are right, thank you for bringing up this issue.
I have fixed the trailing stop logic in TS code.
Best regards,
Tomas
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