Average True Range Trailing Stops
In his series of three articles, Sylvain Vervoort demonstrates the importance of considering a warning signal and setting the stops at the right time to avoid getting stopped out by the normal noise of the market. The second part of the series describes the trailing-stop method based on the average true range (ATR) trailing stop use.
Using the Function Builder, you create the Stop_Trail_ATR_Mod function for a modified ATR trailing stop value:
function
(Period:numeric=5,atrfact:Numeric=3.5):Numeric;
var
HiLo:=0;
Href:=0;
Lref:=0;
diff1:=0;
diff2:=0;
atrmod:=0;
loss:=0;
result:=0;
end_var
HiLo:=iff(H - L < 1.5 * Mov(H - L, period, S),
H - L, 1.5 * Mov(H - L, period, S));
Href:=iff(L <= Ref(H, -1), H - Ref(C, -1),
(h - ref(C, -1)) - (L - Ref(H, -1)) / 2);
Lref:=iff(H >= Ref(L, -1), Ref(C, -1) - L,
(Ref(C, -1) - L) - (Ref(L, -1) - H) / 2);
diff1:=Max(HiLo, Href);
diff2:=Max(diff1, Lref);
atrmod:=EMA(diff2,period);
loss:=atrfact*atrmod;
if HISTORYSIZE <= period then result := C;
else
begin
if C > this\1\ AND C\1\ > this\1\
then result := Max(this\1\,C-loss);
else
begin
if C < this\1\ then result :=
Min(this\1\,C+loss);
else
begin
if C > this\1\ then result := C-loss;
else result := C+loss;
end;
end;
end;
return result;
Then you specify the strategy rules in Tradecision's Strategy Builder:
Entry Long:
if Date() = 080102 then return true;
return false;
Exit Long:
return CrossBelow(Stop_Trail_ATR_Mod(5,3.5),C);
Entry Short:
if Date() = 081201 then return true;
return false;
Exit Short:
return CrossAbove(Stop_Trail_ATR_Mod(5,3.5),C);
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