Wealth-Lab Wiki

API ChartStyles Community Components Community Indicators IndexDefinitions Knowledge Base Misc Optimizers Pending Deletion PosSizers Providers Standard Indicators TASC Traders Tips TASCIndicators Tutorial Videos Visualizers
RSS

Navigation


Quick Search
»
Advanced Search »


TASC 2009-05 | Percentage Trailing Stop (Vervoort)

RSS

Traders' Tip text

Generally, when I think of setting a trailing stop, I immediately reach for Wealth-Lab’s ExitAtTrailingStop function. That method differs from the trailing stop method presented in the article, which exits a position if the closing price is beyond the stop trigger price. The ExitAtTrailingStop method, on the other hand, immediately exits a position if the stop price is “touched” by any intraday excursion. The WealthScript code presented adds two “slider” parameters so that you can easily switch between the two different stop methods as well as the stop percentage in order to make on-the-fly comparisons.


Image

Figure 1. In our raw profit backtest, the article’s “stop on close” method had a significantly higher profit than the touch stop method.


WealthScript Code (C#)

using System;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies { public class SAC_FixedPctTrailingStop : WealthScript { private StrategyParameter _pctTrail = null; private StrategyParameter _touchStop = null; public SAC_FixedPctTrailingStop() { _pctTrail = CreateParameter("Pct Trail", 14d, 5d, 30d, 1d); _touchStop = CreateParameter("Touch Stop=1", 0, 0, 1, 1); } // Custom indicator public DataSeries PercentLine(double pct) { double perc = 1 - pct/100; double perc2 = 1 + pct/100; DataSeries result = new DataSeries(Bars, "PercentLine(" + pct + ")"); // Create the trailing stop series bool bull = true; result[0] = Close[0] * perc; for(int bar = 1; bar < Bars.Count; bar++) { double prev = result[bar - 1]; if( bull ) { if (Close[bar] >= prev) result[bar] = Math.Max(prev, Close[bar] * perc); else { bull = false; result[bar] = Close[bar] * perc2; } } else if (Close[bar] <= prev) result[bar] = Math.Min(prev, Close[bar] * perc2); else { bull = true; result[bar] = Close[bar] * perc; } } return result; } // Execute the strategy protected override void Execute() { DataSeries stopLine = PercentLine(_pctTrail.Value); PlotSeries(PricePane, stopLine, Color.Blue, LineStyle.Dashed, 1); for(int bar = 1; bar < Bars.Count; bar++) { if (IsLastPositionActive) { Position p = LastPosition; if ( _touchStop.ValueInt == 1 ) ExitAtTrailingStop(bar + 1, p, stopLine[bar]); else { if( CrossUnder(bar, Close, stopLine) ) SellAtClose(bar, p); } } else if( CrossOver(bar, Close, stopLine) ) BuyAtClose(bar); } } } }

Important Disclaimer: The information provided by Wealth-Lab is strictly for informational purposes and is not to be construed as advice or solicitation to buy or sell any security.  The owner of Wealth-Lab.com assumes no liability resulting from the use of the material contained herein for investment purposes. By using this web site, you agree to the terms of this disclaimer and our Terms of Use.

Used under license from FMR Corp. Copyright 2008 FMR Corp. All rights reserved.


ScrewTurn Wiki. Some of the icons created by FamFamFam.