Settrailstop()

[TexFly]

Hello,

I know there are numerous threads and examples about this but they are kind of custom responses to each specific situation. I couldn't find a direct answer to my (simple) question. I just need to place a trailing order in a strategy. I understand settrailstop() needs to be placed under OBU...

if (whatever condition))
{
EnterLong("MyLongOrder");
SetTrailStop(CalculationMode.Percent, 0.05);
}

but when I do that the order does not trail. I'm not using SetStopLoss()...What am I doing wrong?

Thanks!

[NinjaTrader_PaulH]

Hello TexFly,

Thanks for your post.

I tested your example and after the order is entered (I used a long only entry) the stop is placed at 95% of the entry (you specified a 5% trail). As the order moved into profit, the trail stop maintained its 5% relationship in an upwards direction.

I've attached a screenshot of a quick test along with the simple code used. It enters a long position and placed the settrailstop just as you show. The entry was as shown at 6690.50, a stop level would be 6690.50 * .95 = 6355.975, the actual stop was initially placed at 6356.00. As the screenshot shows the trail stop, since entry, has moved up to 6358.25. (Note the candles are compressed because the 5% trail stop is a large distance away and the screen compresses to show both candles and the stop flag)

It is important to note that the movement of the stop is dependant upon the Calculate mode employed. If you are using Calculate.OnBarClose, then the stop is only adjusted when the current bar closes (assuming you are in profit and assuming your have moved in profit above the previous bars profit level). If you use the mode of Calculate.OnEachTick then the trailstop can adjust on a per tick basis.

According to the helpguide, "It is suggested to call this method from within the strategy OnStateChange() method if your trail stop price/offset is static" See the #1 tip: https://ninjatrader.com/support/help...ttrailstop.htm

If you wish to use it in the OnbarUpdate() you certainly can, however, it is a good practice to set the stop (or trailstop and/or profit target) before the entry so that the "set" methods are using correct values for the pending entry.

Edit: Added screenshot

[TexFly]

I'm still having issues with the trail stop. Maybe it's easier if I explain what I'm trying to accomplish so you can help me ;-)!

a) Long position
1-Enter position
2- Set a trailing order of $100
Basically make sure the position max loss is no more than $200/$x,00 but trail the order up to maximize the profit and avoid losing what earned if a down move happens


b) Short position
Same that long but inverted.


Thanks!!!

Hello TexFly,

Thanks for your post.

I tested your example and after the order is entered (I used a long only entry) the stop is placed at 95% of the entry (you specified a 5% trail). As the order moved into profit, the trail stop maintained its 5% relationship in an upwards direction.

I've attached a screenshot of a quick test along with the simple code used. It enters a long position and placed the settrailstop just as you show. The entry was as shown at 6690.50, a stop level would be 6690.50 * .95 = 6355.975, the actual stop was initially placed at 6356.00. As the screenshot shows the trail stop, since entry, has moved up to 6358.25. (Note the candles are compressed because the 5% trail stop is a large distance away and the screen compresses to show both candles and the stop flag)

It is important to note that the movement of the stop is dependant upon the Calculate mode employed. If you are using Calculate.OnBarClose, then the stop is only adjusted when the current bar closes (assuming you are in profit and assuming your have moved in profit above the previous bars profit level). If you use the mode of Calculate.OnEachTick then the trailstop can adjust on a per tick basis.

According to the helpguide, "It is suggested to call this method from within the strategy OnStateChange() method if your trail stop price/offset is static" See the #1 tip: https://ninjatrader.com/support/help...ttrailstop.htm

If you wish to use it in the OnbarUpdate() you certainly can, however, it is a good practice to set the stop (or trailstop and/or profit target) before the entry so that the "set" methods are using correct values for the pending entry.

Edit: Added screenshot

[NinjaTrader_PaulH]

Hello TexFly,

Thanks for your reply.

If you wish to use a trailing stop then you would not be able to use SetStopLoss as well because the SetStopLoss would override the use of SetTrailStop.

If you use only SetTrailStop then your max stoploss will be whatever value you decide ($100) and less if your trade moves into profit.

It sounds like you want a constant trail stop of $100 for each long or short entry order. In that case it would be recommended to put the SetTrailStop() in the State.Configure of OnStateChange() method. To trail by $100, you will need to convert that value to ticks and use the CalculationMode.Ticks. To convert to ticks you will need to know the $/Tick of your instrument. For example CL (Crude Oil) is $10.00/tick, ES is $12.50/Tick, 6E is $5.00/Tick.

Here is an example of SetTrailStop() set in configure for 10 ticks for the CL. If it were ES then the ticks would be 8 or if it were 6E the ticks would be 20.

protected override void OnStateChange()
{
if (State == State.Configure)
{
// Sets a trail stop of 10 tick
SetTrailStop(CalculationMode.Ticks, 10);
}
}

[TexFly]

Paul,

I just tried but the order does not trail. It stays at the same price level for the duration of the position no matters how high the profit is...

What am I doing wrong?

Thanks,

Hello TexFly,

Thanks for your reply.

If you wish to use a trailing stop then you would not be able to use SetStopLoss as well because the SetStopLoss would override the use of SetTrailStop.

If you use only SetTrailStop then your max stoploss will be whatever value you decide ($100) and less if your trade moves into profit.

It sounds like you want a constant trail stop of $100 for each long or short entry order. In that case it would be recommended to put the SetTrailStop() in the State.Configure of OnStateChange() method. To trail by $100, you will need to convert that value to ticks and use the CalculationMode.Ticks. To convert to ticks you will need to know the $/Tick of your instrument. For example CL (Crude Oil) is $10.00/tick, ES is $12.50/Tick, 6E is $5.00/Tick.

Here is an example of SetTrailStop() set in configure for 10 ticks for the CL. If it were ES then the ticks would be 8 or if it were 6E the ticks would be 20.

protected override void OnStateChange()
{
if (State == State.Configure)
{
// Sets a trail stop of 10 tick
SetTrailStop(CalculationMode.Ticks, 10);
}
}

[NinjaTrader_PaulH]

Hello TexFly,

Thanks for your reply.

In order to assist further, please post your complete code (or attach the source file) and advise what instrument and bar type you are testing on.

Alternatively, please feel free to write into PlatformSupport[at]NinjaTrader[dot]Com. Mark the e-mail Atten:Paul and please include a link to this thread. Please add your source code file found in Documents>NinjaTrader8>bin>Custom>Strategy>