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Larry Williams 3bar trailing stop
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Larry Williams 3bar trailing stop

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Elite Member
Berlin, Europe
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
Fat Tails's Avatar
Posts: 9,680 since Mar 2010
Thanks: 4,226 given, 25,724 received

3 Bar Trailing Stop

I have finished the first version of the indicator. The indicator plots a channel of an upper and a lower stop line.

-> Upper channel line: larger of prior bar's high + 1 tick and the upper line of a 2-period Keltner Channel displaced by 2 bars
-> Lower channel line: smaller of prior bar's low - 1 tick and the lower line of a 2-period Keltner Channel displaced by 2 bars
-> The Keltner Channel can be calculated from the typical price (default), the close, the median price or the weighted price.
-> The Keltner bands are calculated by multiplying the 2-period ATR with a factor or 0.9 (default).
-> The trend is derived from the last channel breakout and exposed as a BoolSeries for use with other indicators or automated strategies.
-> Channel lines and the channel fill area can be colored according to the trend.
-> The trend can also be shown via paintbars.
-> The channel breakout can be determined from the bar close (reverse intra-bar = false) or from the bar high (breach of the upper channel line) & bar low (breach of the lower channel line).

The indicator can be found here:

In case that the stop-and-reverse points are determined intra-bar, a larger multiplier should be used. Below are two charts which show

-> the indicator set to "reverse intra-bar = false" with the default setting 0.9 for the multiplier
-> the indicator set to "reverse intra-bar = true" with a vallue of 1.5 for the multiplier

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