Trailing Stop

[brucelevy]

Do you have the long and short trail together in one script? For some reason when I put them together the short side isn't doing anything.

[GeorgeW]

Yes, I have short and long trail in once script.

[brucelevy]

Would you mind posting a copy?

Thanks.

[NinjaTrader_ChelseaB]

Hello brucelevy,

My script was intentionally left one sided as this is not meant to be used a trading strategy but is instead intended to be used as an educational tool to show how to move a stop loss anytime you desire to any price you desire.

This could be a trailing price, or could be set to the price of an indicator.

In your script, to have both sides work, you will need completely separate logic for long trades than for short trades and these cannot use the same variable or signal names.

May I confirm that you have separate logic for longs and for shorts and that these use completely different variables and signal names?

[GeorgeW]

Hello BruceLevy,

I have posted the stop and trailing stop part of my code below. As ChelseaB says, the variables need to be different (TrailS and TrailL), and note the separate logic for short and long positions. It was all done in OnBarUpDate so that it could be backtested - see ChelseaB's reply #13. Hope it helps.

      {
        #region Variables
			//Stops & profit target
			private int		stoplossticks		= 6;
			private int flatStopLossTicks = 6; //stoplossticks reset when market is flat, s/b same as 			stoplossticks setting above
			private int	profittargetticks		= 200;
			private double	currentStop			= 0;
			private bool	trailS				= false;
			private bool	trailL				= false;
}
       




	protected override void Initialize()
        {
			// set the initial stop loss and profit target
			
			SetStopLoss(CalculationMode.Ticks, stoplossticks);
			SetProfitTarget(CalculationMode.Ticks, profittargetticks);
	}


          protected override void OnBarUpdate()			
		
        {
			if (CurrentBar < period) return;
			

	
			
			// Resets the stop loss to the original value when all positions are closed
			if (Position.MarketPosition == MarketPosition.Flat)
			{
				currentStop = 0;			
				stoplossticks = flatStopLossTicks;
				trailS = false;
				trailL = false;
				SetStopLoss(CalculationMode.Ticks, stoplossticks);
			}
			
				//Set initial stop loss position - short entry	
				else if (Position.MarketPosition == MarketPosition.Short && trailS == false 
				&& Math.Abs(((MAX(High,3)[0] + TickSize) - Position.AvgPrice) * tickPriceMultiplier) > stoplossticks
				&& Math.Abs(((MAX(High,3)[0] + TickSize) - Position.AvgPrice) * tickPriceMultiplier) < maxStopTicks)
				{
				if (GetCurrentAsk() > (MAX(High,3)[0] + TickSize))
				{
				currentStop = GetCurrentAsk();
				SetStopLoss(CalculationMode.Price, currentStop); //My insert
				}	
				else
				{
				stoplossticks = (int) Math.Abs(((MAX(High,3)[0] + TickSize) - Position.AvgPrice) * tickPriceMultiplier); //(int) used in front due to CS0266 error 
				currentStop = Position.AvgPrice + stoplossticks * TickSize;
				SetStopLoss(CalculationMode.Price, currentStop); //My insert
				}
				Print (Time.ToString()+"stoplossticks:"+stoplossticks);
				Print (Time.ToString()+" "+Close[0]+"Short - Initial Stop:"+currentStop);
				}
				else if (Position.MarketPosition == MarketPosition.Short && trailS == false 
				&& Math.Abs(((MAX(High,3)[0] + TickSize) - Position.AvgPrice) * tickPriceMultiplier) > stoplossticks
				&& Math.Abs(((MAX(High,3)[0] + TickSize) - Position.AvgPrice) * tickPriceMultiplier) >= maxStopTicks)
				{
				if (GetCurrentAsk() > (MAX(High,3)[0] + TickSize))
				{
				currentStop = GetCurrentAsk();
				SetStopLoss(CalculationMode.Price, currentStop); //My insert
				}	
				else
				{
				stoplossticks = maxStopTicks; //restricts max protective stop to maxStopTicks
				currentStop = Position.AvgPrice + stoplossticks * TickSize;
				SetStopLoss(CalculationMode.Price, currentStop); //My insert
				Print (Time.ToString()+"stoplossticks:"+stoplossticks);
				Print (Time.ToString()+" "+Close[0]+"Short - Initial Stop:"+currentStop);
				}
				}
				
				
			
				//To set stop loss to trailing stop once price falls to currentStop minus 11ticks
				else if (Position.MarketPosition == MarketPosition.Short && trailS == false 
				&& Low[0] < currentStop - maxStopTicks * TickSize) //Possibly use GetCurrentAsk() instead of Low[0]
			{
				trailS = true; // after the trail is set to true, the stop loss trail takes over
			}
				if (Position.MarketPosition == MarketPosition.Short && trailS == true 
				&& Low[0] <= currentStop - maxStopTicks * TickSize) //Possibly use GetCurrentAsk() instead of Low[0]
			{	
				currentStop = Low[0] + maxStopTicks * TickSize;
				SetStopLoss(CalculationMode.Price, currentStop);
			}
			
			
				//Set initial stop loss position - long entry	
				else if (Position.MarketPosition == MarketPosition.Long && trailL == false 
				&& Math.Abs(((MIN(Low,3)[0] - TickSize) - Position.AvgPrice) * tickPriceMultiplier) > stoplossticks
				&& Math.Abs(((MIN(Low,3)[0] - TickSize) - Position.AvgPrice) * tickPriceMultiplier) < maxStopTicks)
				{
				if (GetCurrentBid() < (MIN(Low,3)[0] - TickSize))
				{
				currentStop = GetCurrentBid();
				SetStopLoss(CalculationMode.Price, currentStop); //My insert
				}	
				else
				{
				stoplossticks = (int) Math.Abs(((MIN(Low,3)[0] - TickSize) - Position.AvgPrice) * tickPriceMultiplier); //(int) used in front due to CS0266 error 
				currentStop = Position.AvgPrice - stoplossticks * TickSize;
				SetStopLoss(CalculationMode.Price, currentStop); //My insert
				}
				Print (Time.ToString()+"stoplossticks: "+stoplossticks);
				Print (Time.ToString()+" "+Close[0]+"Long - Initial Stop:"+currentStop);
				}				
				else if (Position.MarketPosition == MarketPosition.Long && trailL == false 
				&& Math.Abs(((MIN(Low,3)[0] - TickSize) - Position.AvgPrice) * tickPriceMultiplier) > stoplossticks
				&& Math.Abs(((MIN(Low,3)[0] - TickSize) - Position.AvgPrice) * tickPriceMultiplier) >= maxStopTicks)
				{
				if (GetCurrentBid() < (MIN(Low,3)[0] - TickSize))
				{
				currentStop = GetCurrentBid();
				SetStopLoss(CalculationMode.Price, currentStop); //My insert
				}	
				else
				{
				stoplossticks = maxStopTicks;//restricts max protective stop to maxStopTicks
				currentStop = Position.AvgPrice - stoplossticks * TickSize;
				SetStopLoss(CalculationMode.Price, currentStop); //My insert
				}
				Print (Time.ToString()+"stoplossticks: "+stoplossticks);
				Print (Time.ToString()+" "+Close[0]+"Long - Initial Stop:"+currentStop);
				}

				//To set stop loss to trailing stop once price exceeds currentStop by 11ticks
				else if (Position.MarketPosition == MarketPosition.Long && trailL == false 
				&& GetCurrentBid() >= currentStop + maxStopTicks * TickSize) //Possibly use GetCurrentBid() instead of High[0]
			{				
				trailL = true; // after the trail is set to true, the stop loss trail takes over
			}
			
				if (Position.MarketPosition == MarketPosition.Long && trailL == true 
				&& High[0] >= currentStop + maxStopTicks * TickSize)	//Possibly use GetCurrentBid() instead of High[0]
			{	
				currentStop = High[0] - maxStopTicks * TickSize;
				SetStopLoss(CalculationMode.Price, currentStop);
			}



	}