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If Equity positive then..
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If Equity positive then..

  #1 (permalink)
Elite Member
baltimore md/usa
 
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If Equity positive then..

Hello folks, Having trouble trying to use ATR trailing stop in conjunction with a hard stop. Looking for some code that will say "if equity positive on current trade then use ATR trailing stop.If equity negative on current trade then use hard stop.


Another thought would be to say if trade is x number of emini points higher than where I bought then use ATR, If not then use hard stop. This might be the better way to go..

Right now I am using setpercenttraling which I don't think is reliable in back testing and need to move this to an ATR type of trailing stop.

Thank you for your time


Last edited by robz75; September 15th, 2014 at 01:48 PM. Reason: error
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  #2 (permalink)
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  #3 (permalink)
Market Wizard
Hamburg Germany
 
Futures Experience: Advanced
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robz75,

what code have you written so far that gives you the trouble? If you post is I am sure someone is able to steer you into the right direction.
What makes you think setpercenttrailing is not reliable in backtesting and why would the ATR not be affected by the exact same thing then?

Regards,
ABCTG


robz75 View Post
Hello folks, Having trouble trying to use ATR trailing stop in conjunction with a hard stop. Looking for some code that will say "if equity positive on current trade then use ATR trailing stop.If equity negative on current trade then use hard stop.


Another thought would be to say if trade is x number of emini points higher than where I bought then use ATR, If not then use hard stop. This might be the better way to go..

Right now I am using setpercenttraling which I don't think is reliable in back testing and need to move this to an ATR type of trailing stop.

Thank you for your time


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  #4 (permalink)
Elite Member
baltimore md/usa
 
Futures Experience: Beginner
Platform: TradeStation
Favorite Futures: Futures
 
Posts: 16 since Jul 2014
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ABCTG View Post
robz75,

what code have you written so far that gives you the trouble? If you post is I am sure someone is able to steer you into the right direction.
What makes you think setpercenttrailing is not reliable in backtesting and why would the ATR not be affected by the exact same thing then?

Regards,
ABCTG

I am working with a developer who has won the futures championship a number of times. He has some concerns about setpercent trailing. What he had me do was to use on my 60 bar chart the 1 min LIBB.This does reduce the net profit by more than half. I guess that is what it is.My what my concern is that I could be leaving profit on the table and from what some of my back testing has shown me is that the ATR trailing helps with that.Give me a higher net profit per trade.

Also on the tradestaion site there are a number of posts from tradestation saying it is not the best thing to use.

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  #5 (permalink)
Market Wizard
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
Broker/Data: DTN IQ
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Yes, in my opinion you should always use the LIBB feature in backtesting with the highest granularity possible (unless your strategy won't be affected by that, but when you use the build in reserved words for profit and stops the results without LIBB are almost always too good and not accurate) as this will help you quickly rule out backtesting fallacies that are caused by wrong platform assumptions.
Depending on your implementation of the ATR and the bar status when you take/exit trades using LIBB might be a good idea there, too.

Regards,
ABCTG


robz75 View Post
I am working with a developer who has won the futures championship a number of times. He has some concerns about setpercent trailing. What he had me do was to use on my 60 bar chart the 1 min LIBB.This does reduce the net profit by more than half. I guess that is what it is.My what my concern is that I could be leaving profit on the table and from what some of my back testing has shown me is that the ATR trailing helps with that.Give me a higher net profit per trade.

Also on the tradestaion site there are a number of posts from tradestation saying it is not the best thing to use.


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  #6 (permalink)
Elite Member
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Thank you sir.Any thoughts about getting ATR to work as I mentioned in the first message?

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  #7 (permalink)
Market Wizard
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,524 since Apr 2013
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robz75,

like I wrote I would need to see the code that you wrote so far for the ATR and that is giving you the trouble to be able to steer you into the right direction. Did you look into the reserved word openpositionprofit for example?

Regards,
ABCTG



robz75 View Post
Thank you sir.Any thoughts about getting ATR to work as I mentioned in the first message?


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  #8 (permalink)
Elite Member
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yes I have played with that a bit(openpositionprofit) but prob need to look into it further.Let me put the code together for the ATR and send it to you

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  #9 (permalink)
Market Wizard
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,524 since Apr 2013
Thanks: 229 given, 852 received
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robz75,

please post it in here, so others can learn from it, too.

Regards,
ABCTG


robz75 View Post
yes I have played with that a bit(openpositionprofit) but prob need to look into it further.Let me put the code together for the ATR and send it to you


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  #10 (permalink)
Elite Member
baltimore md/usa
 
Futures Experience: Beginner
Platform: TradeStation
Favorite Futures: Futures
 
Posts: 16 since Jul 2014
Thanks: 0 given, 0 received


I am just worried about posting the entire strategy on this site. I just opened up the canned ATR trailstop in TS.Any thoughts on how to do what it mentions on the notes below?


NOTE: This is not a strict trailing stop because the stop can actually loosen
sometimes instead of always tightening. To convert to a strict trailing stop,
ATRCalc should be fixed at the entry-bar for each position.

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