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Trailing Resistance &nd Support Stops

In his article "Trailing Resistance &nd Support Stops", the final part of a three-part series, Sylvain Vervoort has demonstrated a method of using a short-term trailing stop that moves close to the price action and is based on a trailing resistance & support stop that looks directly at the price movement.

Using the Function Builder, you create the SVE_TRENDS_Trail function for a Trailing Resistance and Support Stop:

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;

 support:= 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;

 

   support := iff(L >= Ref(L, -2) 
   and Ref(L, -1) >= Ref(L, -2) 
              and Ref(L, -3) >= Ref(L, -2) 
              and Ref(L, -4) >= Ref(L, -2),

              Ref(L, -2), iff(L >Ref(H, -1) * 1.0013, 
              Ref(H, -1) * 0.9945, 
              iff(L > this\1\ * 1.1, this\1\ * 1.05, 
              this\1\)));

 

if HISTORYSIZE <= period then result := C;

else

 begin

   if C > this\1\ AND C\1\ > this\1\  
   then result := Max(this\1\,support);

   else

   begin

      if C < this\1\ then result := Min(this\1\,C+loss);

      else

      begin

         if C > this\1\ then result := support;

               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(SVE_TRENDS_Trail(5,3.5),C);

Entry Short:

if Date() = 081201 then return true;

return false;

 

Exit Short:

return CrossAbove(SVE_TRENDS_Trail(5,3.5),C);

You need to enter the starting date manually as mentioned in the article. To define Date(), use a numeric value in the YYMMDD format. Date returns 080102 if the day is January 2nd, 2008.



Download to import into Tradecision.

How to use this indicator in Tradecision:
  1. Click Download.
  2. Save this indicator in a safe location on your hard drive.
  3. Open Tradecision and in the Tools menu click Indicator Builder.
  4. In the Indicator Builder dialog, click Import, locate the saved file and then click OK.
The indicator will be added to the Custom Indicators list.
 
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