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Vary a trailing stop with a filter
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Created: by rshor Attachments:0

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Vary a trailing stop with a filter

  #1 (permalink)
Trading Apprentice
Johannesburg + South Africa
 
Futures Experience: Advanced
Platform: Amibroker
Favorite Futures: Stocks
 
Posts: 4 since Jul 2014
Thanks: 0 given, 0 received

Vary a trailing stop with a filter

Hi Folks,

Amibroker trailing stop:
StopLevel = 1 - Param("trailing stop %", 3, 0.1, 10, 0.1)/100;

Buy = Cross( MACD(), Signal() );
Sell = 0;
trailARRAY = Null;
trailstop = 0;

for( i = 1; i < BarCount; i++ )
{

if( trailstop == 0 AND Buy[ i ] )
{
trailstop = High[ i ] * stoplevel;
}
else Buy[ i ] = 0; // remove excess buy signals

if( trailstop > 0 AND Low[ i ] < trailstop )
{
Sell[ i ] = 1;
SellPrice[ i ] = trailstop;
trailstop = 0;
}

if( trailstop > 0 )
{
trailstop = Max( High[ i ] * stoplevel, trailstop );
trailARRAY[ i ] = trailstop;
}

}

PlotShapes(Buy*shapeUpArrow,colorGreen,0,Low);
PlotShapes(Sell*shapeDownArrow,colorRed,0,High);

Plot( Close,"Price",colorBlack,styleBar);
Plot( trailARRAY,"trailing stop level", colorRed );

Is there a way to change the code to become more conservative when a filter is added? E.g. filter:
X=Foreign("^GSPC", "C", True);
IMA=WMA(X,75);
When X<IMA the filter is triggered.

How can the above coding be changed so that the stop becomes tighter. So if the initial stop is 20% from position entry, the new coding provides for a move to 15% when the filter is triggered and when filter is relaxed stop moves back to 20% ?

Thanks
rshor

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  #2 (permalink)
Membership Temporarily Revoked
NY/USA
 
Futures Experience: Advanced
Platform: -
Favorite Futures: -
 
Posts: 4 since Jun 2014
Thanks: 0 given, 0 received

Try this (not tested)

 
Code
StopLevel  = 1 - Param( "trailing stop %", 3, 0.1, 10, 0.1 ) / 100;
StopLevel2 = 1 - Param( "trailing stop2 %", 1.5, 0.1, 10, 0.1 ) / 100;

Buy = Cross( MACD(), Signal() );
Sell = 0;

X = Foreign( "^GSPC", "C", True );
IMA = WMA( X, 75 );
Longstop = IIf( X < IMA, H * stoplevel2, H * stoplevel );

trailARRAY = Null;
trailstop = 0;

for ( i = 1; i < BarCount; i++ )
{
    if ( trailstop == 0 AND Buy[ i ] )
    {
        trailstop = longstop[i];
    }
    else
        Buy[ i ] = 0; // remove excess buy signals

    if ( trailstop > 0 AND Low[ i ] < trailstop )
    {
        Sell[ i ] = 1;
        SellPrice[ i ] = trailstop;
        trailstop = 0;
    }

    if ( trailstop > 0 )
    {
        trailstop = Max( longstop[i], trailstop );
        trailARRAY[ i ] = trailstop;
    }

}

PlotShapes( Buy*shapeUpArrow, colorGreen, 0, Low );
PlotShapes( Sell*shapeDownArrow, colorRed, 0, High );

Plot( Close, "Price", colorBlack, styleBar );
Plot( trailARRAY, "trailing stop level", colorRed );

Reply With Quote
 
  #3 (permalink)
Trading Apprentice
Johannesburg + South Africa
 
Futures Experience: Advanced
Platform: Amibroker
Favorite Futures: Stocks
 
Posts: 4 since Jul 2014
Thanks: 0 given, 0 received

Thanks - give m something to work with



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