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Stop loss modification
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Stop loss modification

  #1 (permalink)
Elite Member
Gatlinburg TN/USA
 
Futures Experience: Intermediate
Platform: NinjaTrader
Favorite Futures: Futures
 
Posts: 12 since Sep 2015
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Stop loss modification

Attachment 195796Hi!

I want to write a strategy for a stop loss modification.
I wrote it however it doesn't work properly. It works but has different results.

You may look it on example:

Lets say my stop loss is 4 ticks
If I have:
+5 ticks profit modify stop loss to -3 ticks loss
+6 ticks profit modify stop loss to -2 ticks loss
+7 ticks profit modify stop loss to -1 tick loss
+8 ticks profit modify stop loss to 0 tick break-even
+9 ticks profit modify stop loss to +1 tick profit
+10 ticks profit modify stop loss to +2 tick profit
+11 ticks profit modify stop loss to +3 tick profit

if (Position.MarketPosition == MarketPosition.Short)
{
if(Low[0] <= Position.AvgPrice - (5 * TickSize))
SetStopLoss("Short1",CalculationMode.Price, Position.AvgPrice + (3*TickSize) ,false);
...
if(Low[0] == Position.AvgPrice - (11 * TickSize))
SetStopLoss("Short1",CalculationMode.Price, Position.AvgPrice - (3*TickSize),false);
}

It check only the last bar low[0] to last entry price.

If I leave only ONE stop loss modification it works great.

+8 ticks profit modify stop loss to 0 tick break-even
It does exactly what I want.
It finds THE LOWEST LOW from my ENTRY PRICE and compared to current price.

However when I use all of them it is a mess.

If anybody knows how to help me to modify stop losses to different parameters I will only appreciate

Thanks,
Serge


Last edited by olres7; October 23rd, 2015 at 08:30 PM.
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  #2 (permalink)
Elite Member
Omer עומר / Israel י
 
Futures Experience: Master
Platform: NinjaTrader, Proprietary,
Broker/Data: Ninjabrokerage/IQfeed + Synthetic datafeed
Favorite Futures: 6A, 6B, 6C, 6E, 6J, 6S, ES, NQ, YM, AEX, CL, NG, ZB, ZN, ZC, ZS, GC
 
rleplae's Avatar
 
Posts: 2,507 since Sep 2013
Thanks: 1,710 given, 3,722 received
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olres7 View Post
Attachment 195796Hi!

I want to write a strategy for a stop loss modification.
I wrote it however it doesn't work properly. It works but has different results.

You may look it on example:

Lets say my stop loss is 4 ticks
If I have:
+5 ticks profit modify stop loss to -3 ticks loss
+6 ticks profit modify stop loss to -2 ticks loss
+7 ticks profit modify stop loss to -1 tick loss
+8 ticks profit modify stop loss to 0 tick break-even
+9 ticks profit modify stop loss to +1 tick profit
+10 ticks profit modify stop loss to +2 tick profit
+11 ticks profit modify stop loss to +3 tick profit

if (Position.MarketPosition == MarketPosition.Short)
{
if(Low[0] <= Position.AvgPrice - (5 * TickSize))
SetStopLoss("Short1",CalculationMode.Price, Position.AvgPrice + (3*TickSize) ,false);
...
if(Low[0] == Position.AvgPrice - (11 * TickSize))
SetStopLoss("Short1",CalculationMode.Price, Position.AvgPrice - (3*TickSize),false);
}

It check only the last bar low[0] to last entry price.

If I leave only ONE stop loss modification it works great.

+8 ticks profit modify stop loss to 0 tick break-even
It does exactly what I want.
It finds THE LOWEST LOW from my ENTRY PRICE and compared to current price.

However when I use all of them it is a mess.

If anybody knows how to help me to modify stop losses to different parameters I will only appreciate

Thanks,
Serge

You might find helpfull the code in my BOT to update the stoploss.
It is a trailing stop, but you can easily update it to what you want to do
Be carefull if you update the stoploss, once i a while you will run into the problem of 'overfill'

Then NT throws an error and the strategy stops working..

https://futures.io/elite-automated-trading/32559-ron-s-alpha-trade-method-ninjatrader-advanced-trade-management-bot-21.html

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  #3 (permalink)
Trading Apprentice
London
 
Futures Experience: Beginner
Platform: NT
Favorite Futures: ES
 
Posts: 2 since Mar 2016
Thanks: 0 given, 0 received


"Be carefull if you update the stoploss, once i a while you will run into the problem of 'overfill'

Then NT throws an error and the strategy stops working.."


- In what cases does updating a stoploss would result in an overfill. I am confused about this comment

Thanks

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  #4 (permalink)
Elite Member
Omer עומר / Israel י
 
Futures Experience: Master
Platform: NinjaTrader, Proprietary,
Broker/Data: Ninjabrokerage/IQfeed + Synthetic datafeed
Favorite Futures: 6A, 6B, 6C, 6E, 6J, 6S, ES, NQ, YM, AEX, CL, NG, ZB, ZN, ZC, ZS, GC
 
rleplae's Avatar
 
Posts: 2,507 since Sep 2013
Thanks: 1,710 given, 3,722 received
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thegreattrader View Post
"Be carefull if you update the stoploss, once i a while you will run into the problem of 'overfill'

Then NT throws an error and the strategy stops working.."


- In what cases does updating a stoploss would result in an overfill. I am confused about this comment

Thanks

This happens when the order is modified (new order) and in the meantime it is executed
resulting in 2 times execution. The problem occurs if you change targets and stops, when
the price is close or at that level.

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  #5 (permalink)
Elite Member
Mumbai, India
 
Futures Experience: Advanced
Platform: ChartNexus
Favorite Futures: Stocks, Commodities, Futures
 
iqgod's Avatar
 
Posts: 1,659 since Feb 2012
Thanks: 3,312 given, 2,719 received

Agreed NinjaTrader 8 is still beta but I have encountered this issue when moving stop part of an OCO order manually on the ChartTrader - in case I move it too close to the ask / bid and in case the stop can't be set because price is already at that level then the stop gets deleted and you effectively are trading without the stop!

My July 2017 Challenge Journal Please read and Press Thanks on This Post

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  #6 (permalink)
Trading Apprentice
London
 
Futures Experience: Beginner
Platform: NT
Favorite Futures: ES
 
Posts: 2 since Mar 2016
Thanks: 0 given, 0 received

thanks for taking time to reply rleplae.

1) Do you modify a trailing order due to this problem?
2) I am new to this forum. Futures.io is not letting me download the sample you have provided earlier. Is there a way I can get a copy of this without being an elite member? I am still new

thanks

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  #7 (permalink)
Elite Member
Omer עומר / Israel י
 
Futures Experience: Master
Platform: NinjaTrader, Proprietary,
Broker/Data: Ninjabrokerage/IQfeed + Synthetic datafeed
Favorite Futures: 6A, 6B, 6C, 6E, 6J, 6S, ES, NQ, YM, AEX, CL, NG, ZB, ZN, ZC, ZS, GC
 
rleplae's Avatar
 
Posts: 2,507 since Sep 2013
Thanks: 1,710 given, 3,722 received
Forum Reputation: Legendary


thegreattrader View Post
thanks for taking time to reply rleplae.

1) Do you modify a trailing order due to this problem?
2) I am new to this forum. Futures.io is not letting me download the sample you have provided earlier. Is there a way I can get a copy of this without being an elite member? I am still new

thanks

1) over fill, there is not much you can do about it, you can try to avoid chaning target or stop
if the price is close to the price

2) i would strongly recommend considering to become an elite member, it is only 100$ and
probably the best 100$ spend in your trading career, not for my module but for all the other
premium discussions and indicators and material

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