Trailing Activation must be wrong
b131 dev2
backtest engine : multicharts
if(MarketPosition > 0) then begin
...
// Trailing Stop
IntPriceLevel = SQ_Highest(WeightedClose, Period)[0] + (0.80 * SQ_BiggestRange(Period2)[2]);
If IntPriceLevel > 0 and Close - EntryPrice >= Round2Fraction(TrailingActCef * SQ_ATR(20)[1]) and (IntLongTS = 0 or Round2Fraction(IntPriceLevel) > IntLongTS) and Round2Fraction(IntPriceLevel) < CurrentBid then begin
IntLongTS = Round2Fraction(IntPriceLevel); // remember also trailing stop
end;
If IntLongTS > 0 and IntLongTS > IntLongSL then begin
Sell("LongTrailingStop") next bar at IntLongTS stop;
LongSLPlaced = true;
end;
We know here the trailing stop activation is up to Close - EntryPrice >= TrailingActCef * SQ_ATR(20)[1]，
But the right way is, Highest price after entry - EntryPice > trailing activation trigger, example in long position
if(MarketPosition < 0) then begin
...
If BarsSinceEntry = 0 then begin
...
HighAfterEntry = Close;
end;
if Close > HighAfterEntry then
HighAfterEntry = Close;
// Trailing Stop
...
If IntPriceLevel > 0 and HighAfterEntry - EntryPrice >= Round2Fraction(TrailingActCef * SQ_ATR(20)[1])
and ... then begin
...
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 Refused
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Priority Normal
History
e
k
HH
e
MF
Mark Fric
12.05.2021 09:45Status changed from New to Refused
you are right that this is one way how it could work - TS will be active once it has been activated.
Unfortunately, we don't have it like this - activation level is checked every time and modifying this would change results of all the existing strategies, so we cannot do it.
We'd have to make a second type of Trailing Stop that would behave like this.
In any case, I don't think one style or another causes that much difference in trading, we have bigger priorities with much bigger impact now.
Votes: +3
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