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TRADERS’ TIPS
June 2009 Here is this month’s selection of Traders’ Tips, contributed by various developers of technical analysis software to help readers more easily implement some of the strategies presented in this and other issues. Other code appearing in articles in this issue is posted in the Subscriber Area of our website at http://technical.traders.com /sub/sublogin.asp. Login requires your last name and subscription number (from mailing label). Once logged in, scroll down to beneath the “Optimized trading systems” area until you see “Code from articles.” From there, code can be copied and pasted into the appropriate technical analysis program so that no retyping of code is required for subscribers. You can copy these formulas and programs for easy use in your spreadsheet or analysis software. Simply “select” the desired text by highlighting as you would in any word processing program, then use your standard key command for copy or choose “copy” from the browser menu. The copied text can then be “pasted” into any open spreadsheet or other software by selecting an insertion point and executing a paste command. By toggling back and forth between an application window and the open web page, data can be transferred with ease.
This month’s tips include formulas and programs for: TRADESTATION: AVERAGE TRUE RANGE TRAILING STOPS ESIGNAL: AVERAGE TRUE RANGE TRAILING STOPS WEALTH-LAB: AVERAGE TRUE RANGE TRAILING STOPS AMIBROKER: AVERAGE TRUE RANGE TRAILING STOPS NEUROSHELL TRADER: AVERAGE TRUE RANGE TRAILING STOPS AIQ: AVERAGE TRUE RANGE TRAILING STOPS TRADERSSTUDIO: AVERAGE TRUE RANGE TRAILING STOPS STRATASEARCH: AVERAGE TRUE RANGE TRAILING STOPS STOCKFINDER: AVERAGE TRUE RANGE TRAILING STOPS NEOTICKER: AVERAGE TRUE RANGE TRAILING STOPS TRADECISION: AVERAGE TRUE RANGE TRAILING STOPS NINJATRADER: AVERAGE TRUE RANGE TRAILING STOPS WAVE59: AVERAGE TRUE RANGE TRAILING STOPS VT TRADER: AVERAGE TRUE RANGE TRAILING STOPS TRADE-IDEAS: AVERAGE TRUE RANGE TRAILING STOPS METASTOCK: AVERAGE TRUE RANGE TRAILING STOPS (VERVOORT ARTICLE CODE)
TRADESTATION: AVERAGE TRUE RANGE TRAILING STOPS Sylvain Vervoort’s article in this issue, “Average True Range Trailing Stops,” describes a technique for generating trading signals with average true range calculations. Once the initial entry is made, any number of reversals may follow. The strategy’s first trade date and first trade direction are established by user inputs. To download the EasyLanguage code for this study, go to the TradeStation and EasyLanguage Support Forum (https://www.tradestation.com/Discussions/forum.aspx?Forum_ID=213). Search for the file “Vervoort ATR Trail.eld.” This article is for informational purposes. No type of trading or investment recommendation, advice, or strategy is being made, given or in any manner provided by TradeStation Securities or its affiliates.
FIGURE 1: TRADESTATION, ATR TRAILING STOP STRATEGY. Here is an example of the Vervoort ATR_Trail strategy on a chart of Google, Inc. (GOOG). The levels at which the strategy enters new long positions are displayed by the cyan lines. The short entry levels are displayed by the magenta lines. The chart on the left displays the levels based on the original ATR trail calculation. In the chart at right, the modified calculations are used.
Strategy: Vervoort ATR_Trail { Modified ATR Trailing Stop } inputs: TrailType ( 1 ), { enter 1 for modified version, any other number for unmodified version } ATR_Period( 5 ), ATR_Factor( 3.5 ), Quantity( 100 ), InitialMonth( 1 ), InitialDay( 1 ),
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http://www.traders.com/Documentation/FEEDbk_Docs/2... InitialDay( 1 ), InitialYear( 2009 ), FirstTrade( 1 ) ; { enter 1 for long, any other number for short } variables: Loss( 0 ), HiLo( 0 ), HRef( 0 ), LRef( 0 ), HiLoHRefMax( 0 ), HiLoHRefMaxLRefMax( 0 ), ATRMod( 0 ), WaitingForEntry( true ), Trail( 0 ), LineNum( 0 ), ReturnVal( 0 ) ; if TrailType 1 then Loss = ATR_Factor * AvgTrueRange( ATR_Period ) else begin HiLo = iff( High - Low < 1.5 * Average( High - Low, ATR_Period ), High - Low, 1.5 * Average( High Low, ATR_Period ) ) ; HRef = iff( Low = Low[1], Close[1] - Low, ( Close[1] - Low ) - 0.5 * ( Low[1] - High ) ) ; HiLoHRefMax = Maxlist( HiLo, HRef ) ; HiLoHRefMaxLRefMax = Maxlist( HiLoHRefMax, LRef ) ; ATRMod = XAverage( HiLoHRefMaxLRefMax, 2 * ATR_Period - 1 ) ; Loss = ATR_Factor * ATRMod ; end ; if WaitingForEntry and Year( Date ) + 1900 >= InitialYear and Month( Date ) >= InitialMonth and DayOfMonth( Date ) >= InitialDay then begin if FirstTrade = 1 then begin Buy Quantity shares this bar Close ; WaitingForEntry = false ; Trail = Close - Loss ; end else begin Sell short Quantity shares this bar at Close ; WaitingForEntry = false ; Trail = Close + Loss ; end ; end else if WaitingForEntry[1] = false then begin if Close > Trail[1] and Close[1] > Trail[2] then { continued long } Trail = MaxList( Trail[1], Close - Loss ) else if Close < Trail[1] and Close[1] < Trail[2] then { continued short } Trail = MinList( Trail[1], Close + Loss ) else if Close > Trail[1] then { close is above trail } Trail = Close - Loss else Trail = Close + Loss ; if MarketPosition = -1 and Close > Trail and Trail > 0 then begin Buy Quantity shares this bar Close ; LineNum = TL_New( Date[1], Time[1], Trail[1], Date, Time, Trail[1] ) ; ReturnVal = TL_SetColor( LineNum, Cyan ) ; end else if MarketPosition = 1 and Close < Trail then begin Sell short Quantity shares this bar at Close ; LineNum = TL_New( Date[1], Time[1], Trail[1], Date, Time, Trail[1] ) ; ReturnVal = TL_SetColor( LineNum, Magenta ) ; end else if Trail[1] > 0 then begin
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http://www.traders.com/Documentation/FEEDbk_Docs/2... begin LineNum = TL_New( Date[1], Time[1], Trail[1], Date, Time, Trail ) ; if Close > Trail then ReturnVal = TL_SetColor( LineNum, Magenta ) else ReturnVal = TL_SetColor( LineNum, Cyan ) ; end ; end ; —Mark Mills TradeStation Securities, Inc. A subsidiary of TradeStation Group, Inc. www.TradeStation.com
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ESIGNAL: AVERAGE TRUE RANGE TRAILING STOPS For this month’s Traders’ Tip, we’ve provided the following three formulas: ATR_TrailingStop.efs, Modified_ATR.efs, and Modified_ATR_TrailingStop.efs based on the formula code from Sylvain Vervoort’s article in this issue, “Average True Range Trailing Stops.” The ATR trailing stop formula is configured for backtesting only. This formula plots the trailing stop based on a five-period ATR with a multiple of 3.5. These parameters are configurable through the Edit Studies option of the Advanced Chart. In addition, the formula draws labels and arrows to highlight the trade signals, which may be disabled in Edit Studies. The strategy can be set to show long or short signals. The modified ATR formula simply plots the indicator with a default of five periods. This parameter may be configured through the Edit Studies option of the Advanced Chart. The modified ATR trailing stop formula is similar to the ATR trailing stop except that it uses the modified ATR. This formula uses the same defaults, which are also configurable through the Edit Studies option of the Advanced Chart. To discuss this study or download complete copies of the formula code, please visit the EFS Library Discussion Board forum under the Forums link at www.esignalcentral.com or visit our EFS KnowledgeBase at www.esignalcentral.com/support /kb/efs/. The eSignal formula scripts (EFS) are also available for copying and pasting from the STOCKS & COMMODITIES website at Traders.com.
FIGURE 2: ESIGNAL, AVERAGE TRUE RANGE TRAILING STOP. Here is a demonstration of the ATR trailing stop, the modified ATR, and the modified ATR trailing stop.
ATR_TrailingStop.efs /********************************* Provided By: eSignal (Copyright c eSignal), a division of Interactive Data Corporation. 2009. All rights reserved. This sample eSignal Formula Script (EFS) is for educational purposes only and may be modified and saved under a new file name. eSignal is not responsible for the functionality once modified. eSignal reserves the right to modify and overwrite this EFS file with each new release. Description: Average True Range Trailing Stops, by Sylvain Vervoort Version:
1.0
04/09/2009
Formula Parameters: ATR Period ATR Multiplication Long or Short Show Line Trailing Stop Show Labels Show Arrows Display Cursor Labels Line Color
Default: 5 3.5 Long True True True True Red
Notes: The related article is copyrighted material. If you are not a subscriber of Stocks & Commodities, please visit www.traders.com. **********************************/ var fpArray = new Array(); function preMain() { setPriceStudy(true); setStudyTitle("ATR Trailing Stops"); setCursorLabelName("ATR Trailing Stop", 0); setShowTitleParameters(false); setDefaultBarFgColor(Color.red, 0); setPlotType(PLOTTYPE_LINE, 0); setDefaultBarThickness(2, 0);
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http://www.traders.com/Documentation/FEEDbk_Docs/2... setDefaultBarThickness(2, 0); askForInput(); var x=0; fpArray[x] = new FunctionParameter("nATRPeriod", FunctionParameter.NUMBER); with(fpArray[x++]){ setName("ATR Period"); setLowerLimit(1); setUpperLimit(100); setDefault(5); } fpArray[x] = new FunctionParameter("nATRMultip", FunctionParameter.NUMBER); with(fpArray[x++]){ setName("ATR Multiplication"); setLowerLimit(1); setUpperLimit(10); setDefault(3.5); } fpArray[x] = new FunctionParameter("bShowTS", FunctionParameter.BOOLEAN); with(fpArray[x++]){ setName("Show Line Trailing Stop"); addOption("true"); addOption("false"); setDefault("true"); } fpArray[x] = new FunctionParameter("bShowL", FunctionParameter.BOOLEAN); with(fpArray[x++]){ setName("Show Labels"); addOption("true"); addOption("false"); setDefault("true"); } fpArray[x] = new FunctionParameter("bShowArrows", FunctionParameter.BOOLEAN); with(fpArray[x++]){ setName("Show Arrows"); addOption("true"); addOption("false"); setDefault("true"); } fpArray[x] = new FunctionParameter("ViewValue", FunctionParameter.BOOLEAN); with(fpArray[x++]){ setName("Display Cursor Labels"); setDefault(true); } fpArray[x] = new FunctionParameter("sStrategy", FunctionParameter.STRING); with(fpArray[x++]){ setName("Long or Short"); addOption("Long"); addOption("Short"); setDefault("Long"); } fpArray[x] = new FunctionParameter("cColor", FunctionParameter.COLOR); with(fpArray[x++]){ setName("Line Color"); setDefault(Color.red); } } var var var var
bInit = false; bVersion = null; xATRTrailingStop = null; xClose = null;
function main(nATRPeriod, nATRMultip, sStrategy, bShowTS, bShowL, bShowArrows, ViewValue, cColor){ var nClose = 0; var nClose1 = 0; var nATRTS = 0; var nATRTS1 = 0; if (bVersion == null) bVersion = verify(); if (bVersion == false) return; if(bInit==false){ setShowCursorLabel(ViewValue); setDefaultBarFgColor(cColor, 0); xClose = close(); xATRTrailingStop = efsInternal("ATRTrailingStop", nATRPeriod, nATRMultip, xClose); bInit=true; } if(getCurrentBarIndex() == 0) return; nClose = xClose.getValue(0); nClose1 = xClose.getValue(-1); nATRTS = xATRTrailingStop.getValue(0);
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http://www.traders.com/Documentation/FEEDbk_Docs/2... nATRTS = xATRTrailingStop.getValue(0); nATRTS1 = xATRTrailingStop.getValue(-1); if (nATRTS1 == null) return; if (nClose1 < nATRTS1 && nClose > nATRTS1) { if (bShowArrows) drawShape( Shape.UPARROW, BelowBar1, Color.green); if (sStrategy == "Long") { if (bShowL) drawTextRelative(0, BelowBar2, " LONG", Color.white, Color.green, Text.PRESET|Text.CENTER|Text.FRAME, "Arial Black", 10, "b"+(getCurrentBarCount()), -5); Strategy.doLong("Long", Strategy.MARKET, Strategy.NEXTBAR); } else { if (bShowL) drawTextRelative(0, BelowBar2, " EXIT", Color.white, Color.green, Text.PRESET|Text.CENTER|Text.FRAME, "Arial Black", 10, "b"+(getCurrentBarCount()), -5); if (Strategy.isShort()) Strategy.doCover("Exit Short", Strategy.MARKET, Strategy.NEXTBAR); } } if (nClose1 > nATRTS1 && nClose < nATRTS1) { if (bShowArrows) drawShape( Shape.DOWNARROW, AboveBar1, Color.red); if (sStrategy == "Long") { if (bShowL) drawTextRelative(0, AboveBar2, " EXIT", Color.white, Color.red, Text.PRESET|Text.CENTER|Text.FRAME, "Arial Black", 10, "b"+(getCurrentBarCount()), -5); if (Strategy.isLong()) Strategy.doSell("Exit Long", Strategy.MARKET, Strategy.NEXTBAR); } else { if (bShowL) drawTextRelative(0, AboveBar2, "SHORT", Color.white, Color.red, Text.PRESET|Text.CENTER|Text.FRAME , "Arial Black", 10, "b"+(getCurrentBarCount()), -5); Strategy.doShort("Short", Strategy.MARKET, Strategy.NEXTBAR); } } if (bShowTS == false) return; return xATRTrailingStop.getValue(0); } var xATR = null; var nRef = 0; var bSecondInit = false; function ATRTrailingStop(nATRPeriod, nATRMultip, xSClose){ var nClose = 0; var nClose1 = 0; var nLoss = 0; var nRes = 0; var nRef = ref(-1); if (bSecondInit == false) { xATR = atr(nATRPeriod); bSecondInit = true; } nClose = xSClose.getValue(0); nClose1 = xSClose.getValue(-1); nLoss = nATRMultip * xATR.getValue(0); if (nLoss == null || nClose1 == null) return; if (nClose > nRef && nClose1 > nRef) { nRes = Math.max(nRef, nClose - nLoss); } else { if (nClose < nRef && nClose1 < nRef) { nRes = Math.min(nRef, nClose + nLoss); } else { if (nClose > nRef) { nRes = nClose - nLoss; } else { nRes = nClose + nLoss; } } } return nRes; } function verify() { var b = false; if (getBuildNumber() < 779) { drawTextAbsolute(5, 35, "This study requires version 8.0 or later.", Color.white, Color.blue, Text.RELATIVETOBOTTOM|Text. RELATIVETOLEFT|Text.BOLD|Text.LEFT, null, 13, "error"); drawTextAbsolute(5, 20, "Click HERE to upgrade.@URL= http://www.esignal.com/download/default.asp", Color.white, Color.blue, Text.RELATIVETOBOTTOM|Text. RELATIVETOLEFT|Text.BOLD|Text.LEFT, null, 13, "upgrade");
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Modified_ATR_TrailingStop.efs /********************************* Provided By: eSignal (Copyright c eSignal), a division of Interactive Data Corporation. 2009. All rights reserved. This sample eSignal Formula Script (EFS) is for educational purposes only and may be modified and saved under a new file name. eSignal is not responsible for the functionality once modified. eSignal reserves the right to modify and overwrite this EFS file with each new release. Description: Modified Average True Range Trailing Stops, by Sylvain Vervoort Version:
1.0
04/09/2009
Formula Parameters: ATR Period ATR Multiplication Long or Short Show Line Trailing Stop Show Labels Show Arrows Display Cursor Labels Line Color
Default: 5 3.5 Long True True True True Red
Notes: The related article is copyrighted material. If you are not a subscriber of Stocks & Commodities, please visit www.traders.com. **********************************/ var fpArray = new Array(); function preMain() { setPriceStudy(true); setStudyTitle("Modified ATR Trailing Stops"); setCursorLabelName("Modified ATR TS", 0); setShowTitleParameters(false); setDefaultBarFgColor(Color.red, 0); setPlotType(PLOTTYPE_LINE, 0); setDefaultBarThickness(2, 0); askForInput(); var x=0; fpArray[x] = new FunctionParameter("nATRPeriod", FunctionParameter.NUMBER); with(fpArray[x++]){ setName("ATR Period"); setLowerLimit(1); setUpperLimit(100); setDefault(5); } fpArray[x] = new FunctionParameter("nATRMultip", FunctionParameter.NUMBER); with(fpArray[x++]){ setName("ATR Multiplication"); setLowerLimit(1); setUpperLimit(10); setDefault(3.5); } fpArray[x] = new FunctionParameter("bShowTS", FunctionParameter.BOOLEAN); with(fpArray[x++]){ setName("Show Line Trailing Stop"); addOption("true"); addOption("false"); setDefault("true"); } fpArray[x] = new FunctionParameter("bShowL", FunctionParameter.BOOLEAN); with(fpArray[x++]){ setName("Show Labels"); addOption("true"); addOption("false"); setDefault("true"); } fpArray[x] = new FunctionParameter("bShowArrows", FunctionParameter.BOOLEAN); with(fpArray[x++]){ setName("Show Arrows"); addOption("true");
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http://www.traders.com/Documentation/FEEDbk_Docs/2... addOption("true"); addOption("false"); setDefault("true"); } fpArray[x] = new FunctionParameter("ViewValue", FunctionParameter.BOOLEAN); with(fpArray[x++]){ setName("Display Cursor Labels"); setDefault(true); } fpArray[x] = new FunctionParameter("sStrategy", FunctionParameter.STRING); with(fpArray[x++]){ setName("Long or Short"); addOption("Long"); addOption("Short"); setDefault("Long"); } fpArray[x] = new FunctionParameter("cColor", FunctionParameter.COLOR); with(fpArray[x++]){ setName("Line Color"); setDefault(Color.red); } } var var var var
bInit = false; bVersion = null; xATRTrailingStop = null; xClose = null;
function main(nATRPeriod, nATRMultip, sStrategy, bShowTS, bShowL, bShowArrows, ViewValue, cColor){ var nClose = 0; var nClose1 = 0; var nATRTS = 0; var nATRTS1 = 0; if (bVersion == null) bVersion = verify(); if (bVersion == false) return; if(bInit==false){ setShowCursorLabel(ViewValue); setDefaultBarFgColor(cColor, 0); xClose = close(); xATRTrailingStop = efsInternal("ModifiedATRTrailingStop", nATRPeriod, nATRMultip, xClose); bInit=true; } if(getCurrentBarIndex() == 0) return; nClose = xClose.getValue(0); nClose1 = xClose.getValue(-1); nATRTS = xATRTrailingStop.getValue(0); nATRTS1 = xATRTrailingStop.getValue(-1); if (nATRTS1 == null) return; if (nClose1 < nATRTS1 && nClose > nATRTS1) { if (bShowArrows) drawShape( Shape.UPARROW, BelowBar1, Color.green); if (sStrategy == "Long") { if (bShowL) drawTextRelative(0, BelowBar2, " LONG", Color.white, Color.green, Text.PRESET|Text.CENTER|Text.FRAME, "Arial Black", 10, "b"+(getCurrentBarCount()), -5); Strategy.doLong("Long", Strategy.MARKET, Strategy.NEXTBAR); } else { if (bShowL) drawTextRelative(0, BelowBar2, " EXIT", Color.white, Color.green, Text.PRESET|Text.CENTER|Text.FRAME, "Arial Black", 10, "b"+(getCurrentBarCount()), -5); if (Strategy.isShort()) Strategy.doCover("Exit Short", Strategy.MARKET, Strategy.NEXTBAR); } } if (nClose1 > nATRTS1 && nClose < nATRTS1) { if (bShowArrows) drawShape( Shape.DOWNARROW, AboveBar1, Color.red); if (sStrategy == "Long") { if (bShowL) drawTextRelative(0, AboveBar2, " EXIT", Color.white, Color.red, Text.PRESET|Text.CENTER|Text.FRAME, "Arial Black", 10, "b"+(getCurrentBarCount()), -5); if (Strategy.isLong()) Strategy.doSell("Exit Long", Strategy.MARKET, Strategy.NEXTBAR); } else { if (bShowL) drawTextRelative(0, AboveBar2, "SHORT", Color.white, Color.red, Text.PRESET|Text.CENTER|Text.FRAME , "Arial Black", 10, "b"+(getCurrentBarCount()), -5); Strategy.doShort("Short", Strategy.MARKET, Strategy.NEXTBAR); } } if (bShowTS == false) return;
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http://www.traders.com/Documentation/FEEDbk_Docs/2... return xATRTrailingStop.getValue(0); } var var var var
xHigh_Low = null; xATR_Modif = null; nRef = 0; bSecondInit = false;
function ModifiedATRTrailingStop(nATRPeriod, nATRMultip, xSClose){ var nBarState = getBarState(); var nClose = 0; var nClose1 = 0; var nLoss = 0; var nRes = 0; var nRef = ref(-1); if (bSecondInit == false) { xHigh_Low = efsInternal("Calc_High_Low"); xATR_Modif = efsInternal("Calc_ATRMod", nATRPeriod, nATRMultip, xSClose, xHigh_Low, sma(nATRPeriod, xHigh_Low)) bSecondInit = true; } nClose = xSClose.getValue(0); nClose1 = xSClose.getValue(-1); nLoss = nATRMultip * xATR_Modif.getValue(0); if (nLoss == null) return; if (nClose > nRef && nClose1 > nRef) { nRes = Math.max(nRef, nClose - nLoss); } else { if (nClose < nRef && nClose1 < nRef) { nRes = Math.min(nRef, nClose + nLoss); } else { if (nClose > nRef) { nRes = nClose - nLoss; } else { nRes = nClose + nLoss; } } } return nRes; } function Calc_High_Low() { var nRes = high(0) - low(0); if (nRes == null) return; return nRes; } var bThirdInit = false; var xHigh = null; var xLow = null; function Calc_ATRMod(nATRPeriod, nATRMultip, xTClose, xHigh_Low, xMA_High_Low) { var nHiLo = 0; var nHref = 0; var nLref = 0; var ndiff1 = 0; var ndiff2 = 0; var nHigh_Low = 0; var nMA_High_Low = 0; var nAtrMod = 0; if (bThirdInit == false) { xHigh = high(); xLow = low(); bThirdInit = true; } var var var var var var
nClose = xTClose.getValue(0); nClose1 = xTClose.getValue(0); nHigh = xHigh.getValue(0); nHigh1 = xHigh.getValue(0); nLow = xLow.getValue(0); nLow1 = xLow.getValue(0);
nHigh_Low = xHigh_Low.getValue(0); nMA_High_Low = xMA_High_Low.getValue(0) * 1.5; if (nHigh_Low == null || nMA_High_Low == null) return; if (nHigh_Low < nMA_High_Low) { nHiLo = nHigh_Low; } else { nHiLo = nMA_High_Low; }
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if (nLow = nLow1) { nLref = nClose1 - nLow; } else { nLref = (nClose1 - nLow) - (nLow1 - nHigh) / 2; } ndiff1 = Math.max(nHiLo, nHref); ndiff2 = Math.max(ndiff1, nLref); nAtrMod = (ndiff2 + (nATRPeriod - 1) *
ref(-1)) / nATRPeriod;
if (nAtrMod == null) return; return nAtrMod; } function verify() { var b = false; if (getBuildNumber() < 779) { drawTextAbsolute(5, 35, "This study requires version 8.0 or later.", Color.white, Color.blue, Text.RELATIVETOBOTTOM|Text. RELATIVETOLEFT|Text.BOLD|Text.LEFT, null, 13, "error"); drawTextAbsolute(5, 20, "Click HERE to upgrade.@URL= http://www.esignal.com/download/default.asp", Color.white, Color.blue, Text.RELATIVETOBOTTOM|Text. RELATIVETOLEFT|Text.BOLD|Text.LEFT, null, 13, "upgrade"); return b; } else { b = true; } return b; }
Modified/ATR.efs /********************************* Provided By: eSignal (Copyright c eSignal), a division of Interactive Data Corporation. 2009. All rights reserved. This sample eSignal Formula Script (EFS) is for educational purposes only and may be modified and saved under a new file name. eSignal is not responsible for the functionality once modified. eSignal reserves the right to modify and overwrite this EFS file with each new release. Description: Modified Average True Range, by Sylvain Vervoort Version:
1.0
04/09/2009
Formula Parameters: ATR Period Line Color
Default: 5 Red
Notes: The related article is copyrighted material. If you are not a subscriber of Stocks & Commodities, please visit www.traders.com. **********************************/ var fpArray = new Array(); function preMain() { setPriceStudy(false); setStudyTitle("Modified ATR"); setCursorLabelName("Modified ATR", 0); setShowTitleParameters(false); setDefaultBarFgColor(Color.red, 0); setPlotType(PLOTTYPE_LINE, 0); setDefaultBarThickness(2, 0); askForInput(); var x=0; fpArray[x] = new FunctionParameter("nATRPeriod", FunctionParameter.NUMBER); with(fpArray[x++]){ setName("ATR Period"); setLowerLimit(1); setUpperLimit(100); setDefault(5); } fpArray[x] = new FunctionParameter("cColor", FunctionParameter.COLOR);
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http://www.traders.com/Documentation/FEEDbk_Docs/2... fpArray[x] = new FunctionParameter("cColor", FunctionParameter.COLOR); with(fpArray[x++]){ setName("Line Color"); setDefault(Color.red); } } var bInit = false; var bVersion = null; var xATR_Modif = null; function main(nATRPeriod, cColor){ var nATR_Modif = 0; if (bVersion == null) bVersion = verify(); if (bVersion == false) return; if(bInit==false){ setDefaultBarFgColor(cColor, 0); xATR_Modif = efsInternal("Calc_ATRMod", nATRPeriod); bInit=true; } nATR_Modif = xATR_Modif.getValue(0); if (nATR_Modif == null) return; return nATR_Modif; } var var var var
xHigh_Low = null; xATR_ModifTmp = null; nRef = 0; bSecondInit = false;
function Calc_ATRMod(nATRPeriod, nATRMultip){ var nRes = 0; if (bSecondInit == false) { xHigh_Low = efsInternal("Calc_High_Low"); xATR_ModifTmp = efsInternal("Calc_ATRModResult", nATRPeriod, xHigh_Low, sma(nATRPeriod, xHigh_Low)) bSecondInit = true; } nRes = xATR_ModifTmp.getValue(0); if (nRes == null) return; return nRes; } function Calc_High_Low() { var nRes = high(0) - low(0); if (nRes == null) return; return nRes; } var var var var
bThirdInit = false; xClose = null; xHigh = null; xLow = null;
function Calc_ATRModResult(nATRPeriod, xHigh_Low, xMA_High_Low) { var nHiLo = 0; var nHref = 0; var nLref = 0; var ndiff1 = 0; var ndiff2 = 0; var nHigh_Low = 0; var nMA_High_Low = 0; var nAtrMod = 0; if (bThirdInit == false) { xClose = close(); xHigh = high(); xLow = low(); bThirdInit = true; } var var var var var var
nClose = xClose.getValue(0); nClose1 = xClose.getValue(0); nHigh = xHigh.getValue(0); nHigh1 = xHigh.getValue(0); nLow = xLow.getValue(0); nLow1 = xLow.getValue(0);
nHigh_Low = xHigh_Low.getValue(0); nMA_High_Low = xMA_High_Low.getValue(0) * 1.5; if (nHigh_Low == null || nMA_High_Low == null) return;
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if (nHigh_Low < nMA_High_Low) { nHiLo = nHigh_Low; } else { nHiLo = nMA_High_Low; } if (nLow = nLow1) { nLref = nClose1 - nLow; } else { nLref = (nClose1 - nLow) - (nLow1 - nHigh) / 2; } ndiff1 = Math.max(nHiLo, nHref); ndiff2 = Math.max(ndiff1, nLref); nAtrMod = (ndiff2 + (nATRPeriod - 1) *
ref(-1)) / nATRPeriod;
if (nAtrMod == null) return; return nAtrMod; } function verify() { var b = false; if (getBuildNumber() < 779) { drawTextAbsolute(5, 35, "This study requires version 8.0 or later.", Color.white, Color.blue, Text.RELATIVETOBOTTOM|Text. RELATIVETOLEFT|Text.BOLD|Text.LEFT, null, 13, "error"); drawTextAbsolute(5, 20, "Click HERE to upgrade.@URL= http://www.esignal.com/download/default.asp", Color.white, Color.blue, Text.RELATIVETOBOTTOM|Text. RELATIVETOLEFT|Text.BOLD|Text.LEFT, null, 13, "upgrade"); return b; } else { b = true; } return b; } —Jason Keck eSignal, a division of Interactive Data Corp. 800 815-8256, www.esignalcentral.com
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WEALTH-LAB: AVERAGE TRUE RANGE TRAILING STOPS The modified ATR indicator presented by Sylvain Vervoort in “Average True Range Trailing Stops” in this issue is available in Wealth-Lab’s TascIndicator library version 1.0.7.0 and later. Here, we’ll provide the WealthScript code to enter a discretionary position, long or short, on the open of a specified date given by the strategy parameters. Included is the ATRTrail class, which utilizes the modified ATR to calculate a trailing stop based on the most-recent close. You can use it with any of your strategies. Once you create an ATRTrail object, just pass the bar number to the ATRTrail.Price method. As with last month’s article, if you prefer to use touch stops, WealthScript’s built-in ExitAtTrailingStop method is convenient. See Figure 3 for a sample chart.
FIGURE 3: WEALTH-LAB, MODIFIED AVERAGE TRUE RANGE STOP. INTC’s three black crows following a doji-island reversal made a nice setup to enter short with a relatively tight stop at the center of the pattern.
WealthScript Code (C#):
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http://www.traders.com/Documentation/FEEDbk_Docs/2... WealthScript Code (C#): using using using using using using
System; System.Collections.Generic; System.Text; System.Drawing; WealthLab; WealthLab.Indicators;
namespace WealthLab.Strategies { /* Class that encapsulates the ATR Trailing Stop, closing basis */ public class ATRTrail { private WealthScript ws; private Bars bars; private double stopPrice; private bool longPosition; private DataSeries atrMod; public ATRTrail(WealthScript wL, Bars b, bool positionLong, double initialStop, int period, double factor ) { ws = wL; bars = b; longPosition = positionLong; stopPrice = initialStop; atrMod = factor * TASCIndicators.ATRModified.Series(bars, period); } // Call this method to update and return the stop price on each bar after entry public double Price(int bar) { double prevPrice = stopPrice; double newPrice; if (longPosition) { newPrice = bars.Close[bar] - atrMod[bar]; stopPrice = newPrice > stopPrice ? newPrice : stopPrice; } else { newPrice = bars.Close[bar] + atrMod[bar]; stopPrice = newPrice < stopPrice ? newPrice : stopPrice; } ws.DrawLine(ws.PricePane, bar-1, prevPrice, bar, stopPrice, Color.Blue, LineStyle.Solid, 1); return stopPrice; } } public class SAC_ATRTrailingStops : WealthScript { private StrategyParameter _isLong = null; private StrategyParameter _initStop = null; private StrategyParameter _period = null; private StrategyParameter _atrMult = null; private StrategyParameter _y = null; private StrategyParameter _m = null; private StrategyParameter _d = null; public SAC_ATRTrailingStops() { _isLong = CreateParameter("Long = 1", 1, 0, 1, 1); _initStop = CreateParameter("Initial Stop", 1.0, 0.25, 50.0, 0.25); _period = CreateParameter("ATR Period", 5, 2, 100, 1); _atrMult = CreateParameter("ATR Multiplier", 3.5, 1.0, 5.0, 0.1); _m = CreateParameter("Month", 4, 1, 12, 1); _d = CreateParameter("Day", 13, 1, 31, 1); _y = CreateParameter("Year", 2009, 1990, 2012, 1); } /* Execute a strategy - trade on a specified date */ protected override void Execute() { DateTime dt; try { dt = new DateTime(_y.ValueInt, _m.ValueInt, _d.ValueInt); } catch { DrawLabel(PricePane, "Invalid Date", Color.Red); return; } int b = Bars.ConvertDateToBar(dt, false); if (b < 1) {
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DrawLabel(PricePane, "Date does not exist on chart", Color.Red); return; } if(
_isLong.ValueInt == 1 ) BuyAtMarket(b, "Discretionary"); else ShortAtMarket(b, "Discretionary"); Position p = LastPosition; // After creating a position, initialize a stop object ATRTrail atrStop = new ATRTrail(this, Bars, p.PositionType == PositionType.Long, _initStop.Value, _period.ValueInt, _atrMult.Value); for(int bar = b + 1; bar < Bars.Count; bar++) { if (p.Active) { if (p.PositionType == PositionType.Long) { if( Close[bar] < atrStop.Price(bar) ) ExitAtMarket(bar + 1, p); } else if( Close[bar] > atrStop.Price(bar) ) ExitAtMarket(bar + 1, p); } } } } } —Robert Sucher www.wealth-lab.com
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AMIBROKER: AVERAGE TRUE RANGE TRAILING STOPS In “Average True Range Trailing Stops” in this issue, author Sylvain Vervoort continues his study of various trailing stop techniques. Implementing modified average true range stops is easy in AmiBroker Formula Language thanks to its built-in looping support, so we don’t need any external DLLs. A ready-to-use AmiBroker formula for the ATR trailing stop technique is presented in Listing 1. This formula is an enhanced version of the one given in last month’s Traders’ Tips for Vervoort’s May 2009 STOCKS & COMMODITIES article. In addition to the fixed and standard ATR stop techniques given last month, the formula allows the user to select the modified ATR method from the “stop mode” list. Most of the code is unchanged, with only a calculation added for the modified ATR. To use it, enter the formula into the Editor, then press “Apply Indicator” (see Figure 4). To adjust the stop mode and its parameters, click on the chart with right mouse button and select “parameters” from the context menu.
FIGURE 4: AMIBROKER, MODIFIED AVERAGE TRUE RANGE STOP. Here is a daily chart of CRM showing the 3.5-multiple, modified ATR(5) trailing stop, with buy (green) and sell (red) arrows.
LISTING 1 Version(5.20); // requires v5.20 SetBarsRequired(sbrAll); // get start date Start = Cross( DateNum(), ParamDate("Start date", "2005-10-30" ) ); Started = Flip( Start, 0 ); StopMode = ParamList("Stop Mode", "Fixed|Chandelier|Modified ATR" ); StopLevel = Param("Fixed perc %", 14, 0.1, 50, 0.1)/100; StopATRFactor = Param("ATR multiple", 4, 0.5, 10, 0.1 ); StopATRPeriod = Param("ATR period", 14, 3, 50 ); // calculate support and resistance levels if( StopMode == "Fixed" ) // fixed percent trailing stop { sup = C * ( 1 - stoplevel );
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http://www.traders.com/Documentation/FEEDbk_Docs/2... sup = C * ( 1 - stoplevel ); res = C * ( 1 + stoplevel ); } else // Chandelier ATR-based stop if( StopMode == "Chandelier" ) { sup = C - StopATRFactor * ATR( StopATRPeriod ); res = C + StopATRFactor * ATR( StopATRPeriod ); } else { HL = H - L; MAHL = 1.5 * MA( HL, StopATRPeriod ); HiLo = IIf( HL < MAHL, HL, MAHL ); H1 = Ref( H, -1 ); L1 = Ref( L, -1 ); C1 = Ref( C, -1 ); Href = IIf( L = L1, C1 - L, ( C1 - L ) - ( L1 - H ) / 2 ); diff1 = Max( HiLo, HRef ); diff2 = Max( diff1, LRef ); ATRmod = Wilders( diff2, StopATRPeriod ); sup = C - StopATRFactor * ATRmod ; res = C + StopATRFactor * ATRmod ; } // calculate trailing stop line trailARRAY = Null; trailstop = 0; for( i = 1; i < BarCount; i++ ) { if( Started[ i ] == 0 ) continue; if( C[ i ] > trailstop AND C[ i - 1 ] > trailstop ) trailstop = Max( trailstop, sup[ i ] ); else if( C[ i ] < trailstop AND C[ i - 1 ] < trailstop ) trailstop = Min( trailstop, res[ i ] ); else trailstop = IIf( C[ i ] > trailstop, sup[ i ], res[ i ] ); trailARRAY[ i ] = trailstop; } // generate buy/sell signals based on crossover with trail stop line Buy = Start OR Cross( C, trailArray ); Sell = Cross( trailArray, C ); PlotShapes(Buy*shapeUpArrow,colorGreen,0,trailarray); PlotShapes(Sell*shapeDownArrow,colorRed,0,trailarray); Plot( Close,"Price",colorBlack,styleBar); //SetBarFillColor( colorYellow ); Plot( trailARRAY,"trailing stop level", colorRed, styleLine ); —Tomasz Janeczko, AmiBroker.com www.amibroker.com
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NEUROSHELL TRADER: AVERAGE TRUE RANGE TRAILING STOPS The average true range trailing stop technique described by Sylvain Vervoort in his article in this issue, “Average True Range Trailing Stops,” can be implemented in NeuroShell Trader by combining a few of NeuroShell Trader’s built-in indicators plus the trading strategy wizard. First, to recreate J. Welles Wilder’s exponential average–based average true range indicator, select “New Indicator…” from the Insert menu and use the Indicator Wizard to create the following indicator: Average true range (ATR) indicator: ExpAvg( Subtract ( Max2(High, Lag(Close,1)), Min2( Low, Lag(Close,1))), 9 ) To recreate Sylvain Vervoort’s average true range trailing stop reversal system, select “New Trading Strategy…” from the Insert menu and enter the following in the appropriate locations of the Trading Strategy Wizard: Long protective stop: Subtract( MaxValueSinceEntryFilled(TradingStrategy, High, 1), Multiply2( 3.5, WilderAverageTrueRange)) Short protective stop: Add2( MinValueSinceEntryFilled(TradingStrategy, Low, 1), Multiply2( 3.5, WilderAverageTrueRange)) If you wish to create an average true range trailing stop system using your own trading system’s entry rules, simply combine the trailing stops listed above with your own entry/exit conditions. To recreate the modified average true range indicator, select “New Indicator…“ from the Insert menu and use the Indicator Wizard to create the following indicators: HiLo
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http://www.traders.com/Documentation/FEEDbk_Docs/2... HiLo Min2(Subtract(High,Low), MovAvg(Subtract(High,Low),5)) Href Subtract(Subtract(High, Lag(Close,1)), IfThenElse( A=B(High, Lag(Low,1)), 0, Divide(Subtract(Lag(Low,1), High), 2))) Modified Average True Range ExpAvg( Max3( HiLo, Href, Lref ), 9) To recreate the modified average true range trailing stop reversal system, enter the following formula in the appropriate locations of the Trading Strategy Wizard: Long protective stop: Subtract( MaxValueSinceEntryFilled(TradingStrategy #2, High, 1), Multiply2( 3.5, ModifiedAverageTrueRange)) Short protective stop: Add2( MinValueSinceEntryFilled(TradingStrategy #2, Low, 1), Multiply2( 3.5, ModifiedAverageTrueRange)) If you wish to create a modified average true range trailing stop system using your own trading system’s entry rules, simply combine the modified average true range trailing stops listed above with your own entry/exit conditions.
FIGURE 5: NEUROSHELL TRADER, AVERAGE TRUE RANGE TRAILING STOP SYSTEM
If you have NeuroShell Trader Professional, you can also choose whether the system parameters should be optimized. After backtesting the trading strategies, use the “Detailed Analysis…” button to view the backtest and trade-by-trade statistics for each strategy. For more information on NeuroShell Trader, visit www.NeuroShell.com. —Marge Sherald, Ward Systems Group, Inc. 301 662-7950,
[email protected] www.neuroshell.com
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AIQ: AVERAGE TRUE RANGE TRAILING STOPS The AIQ code is shown here for the date-specific version of the average true range (ATR) trailing stop and the modified average true range (ATRM) trailing stop described by Sylvain Vervoort in his article in this issue, “Average True Range Trailing Stops.” This ATR stop code can be pasted into any system of your choice and then used as the exit. The date-specific version (in which a start date is manually entered in the EDS code as an input, and then the stop starts trailing as of that date) has been coded and provided here as well. This stop can be plotted on a chart for the purposes of checking trades one at a time. Be sure to set all the inputs to match your objective. !! AVERAGE TRUE RANGE TRAILING STOP (DATE SPECIFIC VERSION) ! Author: Sylvain Vervoort, TASC, June 2009 ! Coded by: Richard Denning 4/12/09 ! INPUTS: mo is da is yr is isLong is atrLen is atrMult is
10. 2. 2008. 1. 5. 3.5.
!
1 = for longs, 0 = for shorts
! ABBREVIATIONS: C is [close]. C1 is valresult(C,1). H is [high]. L is [low]. ! AVERAGE TRUE RANGE TR is Max(H - L,max(abs(C1 - L),abs(C1- H))). ATR is expAvg(TR,atrLen).
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! ATR TRAILING STOP FROM DATE startDate is makeDate(mo,da,yr). daysSinceStart is scanany(ruledate() = startDate, 5040) then offSetToDate(month(),day(),year()). loss is ATR * atrMult. longStop is C-Loss. shortStop is C+Loss. maxVal is iff(reportdate() >= startDate,^highresult(longStop,^daysSinceStart+1),C). minVal is iff(reportdate() >= startDate,^lowresult(shortStop,^daysSinceStart+1),C). ! PLOT "TRAIL" AS CUSTOM INDICATOR TO SEE STOP ON CHART: trail is iff(reportdate() >= startDate and isLong = 1,maxVal, iff(reportdate() >= startDate and isLong 1,minVal,C)). Buy if reportdate() = startDate and isLong = 1. Exit if C < trail. SellShort if reportdate() = startDate and isLong 1. Cover if C > trail. !_____________The following code must go on a second EDS file_______________ !! MODIFIED AVERAGE TRUE RANGE TRAILING STOP (DATE SPECIFIC VERSION) ! Author: Sylvain Vervoort, TASC, June 2009 ! Coded by: Richard Denning 4/12/09 ! INPUTS: mo is da is yr is isLong is atrLen is atrMult is
10. 2. 2008. 1. 5. 3.5.
!
1 = for longs, 0 = for shorts
! ABBREVIATIONS: C is [close]. C1 is valresult(C,1). H is [high]. H1 is valresult(H,1). L is [low]. L1 is lowresult(L,1). ! MODIFIED AVERAGE TRUE RANGE AvgRng is simpleAvg(H - L, atrLen) . HiLo is iff(H - L < 1.5 * AvgRng, H - L, 1.5*AvgRng). HLmax is (H - C1) - (L - H1) / 2. Href is iff(L = L1, C1 - L, LHmax). Diff1 is Max(HiLo,Href). Diff2 is Max(Diff1,Lref). ATRM is expAvg(Diff2,atrLen*2-1,0). ! ATR TRAILING STOP FROM DATE startDate is makeDate(mo,da,yr). daysSinceStart is scanany(ruledate() = startDate, 5040) then offSetToDate(month(),day(),year()). loss is ATRM * atrMult. longStop is C-Loss. shortStop is C+Loss. maxVal is iff(reportdate() >= startDate,^highresult(longStop,^daysSinceStart+1),C). minVal is iff(reportdate() >= startDate,^lowresult(shortStop,^daysSinceStart+1),C). ! PLOT "TRAIL" AS CUSTOM INDICATOR TO SEE STOP ON CHART: trail is iff(reportdate() >= startDate and isLong = 1,maxVal, iff(reportdate() >= startDate and isLong 1,minVal,C)). Buy if reportdate() = startDate and isLong = 1. Exit if C < trail. SellShort if reportdate() = startDate and isLong 1. Cover if C > trail. The code can be downloaded from the AIQ website at www.aiqsystems.com and also from www.TradersEdgeSystems.com/traderstips.htm. It can also copied and pasted from the STOCKS & COMMODITIES website at Traders.com. —Richard Denning for AIQ Systems
[email protected]
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TRADERSSTUDIO: AVERAGE TRUE RANGE TRAILING STOPS The TradersStudio implementation of the fixed-percentage trailing stop system and the date-specific version based on “Average True Range Trailing Stops” by Sylvain Vervoort is discussed here. The average true range (ATR) trailing stop should have an advantage over the fixed-percentage trailing stop that was tested last month in my May 2009 Traders’ Tip, since the stop can adapt to the changing volatility of both the overall market as well as to
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http://www.traders.com/Documentation/FEEDbk_Docs/2... month in my May 2009 Traders’ Tip, since the stop can adapt to the changing volatility of both the overall market as well as to each individual stock’s volatility and changes in volatility. In my May 2009 Traders’ Tip, I modified Vervoort’s fixed-percentage trailing stop system by adding market timing and also by trading both the long and short sides. This system, if traded both long and short, would be always in, but since I added a markettiming filter based on a general-market trend-following filter, it will only trade long when the market trend is up or short when the market trend is down. The coded version of Vervoort’s ATR trailing stop system that I am supplying here has the options of trading either long only, short only, or both long and short. It also has the option to apply a market-trend filter using the S&P 500 index (SPX) to determine whether to trade long or short. I decided to stick with the author’s list of stocks for the tests. One advantage in testing stocks with TradersStudio over other programs is that both the unadjusted price series as well as the split-adjusted series are available in the tests. This can make a big difference in the computation of commissions when they are based on the number of shares traded. (Other programs compute commissions on a cents-per-share basis, and unless you know the actual price of the stock and the actual number of shares that would have been traded, commissions cannot be computed accurately.) In addition, with TradersStudio, we are able to correctly apply a minimum price rule to eliminate very low-priced stocks. When only split-adjusted data is available, we cannot accurately apply a price filter because we don’t know whether a stock is low-priced due to a split or was really trading at a low price in real time. TradersStudio also has the ability to compute the dividends that you would have been received or paid (if short).
FIGURE 6: TITLE.blurb
In Figure 6, I show a comparison of the equity curves: the left one represents trading both long and short using a trend filter on the SPX with optimized parameters using the fixed-percentage trailing stop system from the May 2009 issue, while the one on the right shows this issue’s modified ATR trailing stop (ATRM) system with optimized parameters. Just by looking at the two equity curves, it’s hard to tell which is preferable, although the ATRM (right curve) appears smoother with smaller drawdowns. Looking at the table in Figure 7, which shows some key metrics for the two trailing-stop methods, we see that the ATRM stops are preferable, since we obtain slightly more net profit with lower drawdown, better profit factor, and better profit-to-maximum drawdown ratios with fewer trades. I also found that there is a slight improvement (not shown) by using the ATRM system versus the ATR system.
FIGURE 7: TITLE.blurb
To measure the robustness of the parameter sets from the ATRM system optimization, in Figure 8 I show two three-dimensional models. The left model shows the two parameters compared to the net profit, and the right model shows the two parameters compared to the maximum drawdown. The ATR-length parameter is less sensitive to changes than the ATR multiple. The range of good parameters is five to 10 days for the ATR length, and 4.5 to 5.5 for the ATR multiple. All tests used 300 days for the moving average length on the SPX trend filter. I used a TradersStudio add-in to produce the three-dimensional models.
FIGURE 8: TITLE.blurb
The code can be downloaded from the TradersStudio website at www.TradersStudio.com ->Traders Resources->FreeCode as well as from www.TradersEdgeSystems.com/traderstips.htm. It can also be copied and pasted from the STOCKS & COMMODITIES website at www.Traders.com. ' ' ' '
AVERAGE TRUE RANGE TRAILING STOPS (ATR and ATRM) Author: Sylvain Vervoort, TASC June 2009 Coded by: Richard Denning 4/8/09 www.tradersEdgeSystems.com
Sub ATR_TSSR(tsStartDate,WilderLenATR,multATR,longOnly,useMktTm,spxLen,useModATR) 'tsStartDate = date that trading is to start after bars back has been satisfied ' use TradeStation date format of YYYMMDD example 1/20/2003 = 1030120 'WilderLenATR = 5, multATR = 3.5, unitSiz = 1, longOnly = 2 (both long and short)
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http://www.traders.com/Documentation/FEEDbk_Docs/2... 'WilderLenATR = 5, multATR = 3.5, unitSiz = 1, longOnly = 2 (both long and short) 'longOnly = 1 (trade long side only), longOnly = -1 (short side only) 'useMktTm = 1 will apply an SPX trend filter so that trades are taken only in ' the direction of the trend of the SP500 index; any other value ' and no market timing filter is applied ' spxLen = 250 ' useModATR = 1 uses modified ATR; any other value uses standard ATR Dim unitSiz Dim trail As BarArray Dim rsAIQst As BarArray Dim size As BarArray Dim SPXc As BarArray Dim OKtoBuy, OKtoSell unitSiz = 1 SPXc = C Of independent1 OKtoBuy = SPXc > Average(SPXc,spxLen,0) And SPXc[1] > Average(SPXc,spxLen,1) OKtoSell = SPXc < Average(SPXc,spxLen,0) And SPXc[1] < Average(SPXc,spxLen,1) If useModATR = 1 Then trail = ATRM_TRAIL_STOP(WilderLenATR, multATR) Else trail = ATR_TRAIL_STOP(WilderLenATR, multATR) End If size = (1000 / TSCLose) / unitSiz If Not CrossesOver(C,trail,0) And Not CrossesUnder(C,trail,0) Then size = size[1] If useMktTm = 1 Then If Date >= MigrateDate(tsStartDate) Then If longOnly >= 1 And OKtoBuy Then If CrossesOver(C,trail,0) Then Buy("LE",size,0,CloseEntry,Day) If CrossesUnder(C,trail,0) Then ExitLong("LX","",size[1],0, CloseExit,Day) End If If (longOnly = MigrateDate(tsStartDate) Then If longOnly >= 1 Then If CrossesOver(C,trail,0) Then Buy("LE",size,0,CloseEntry,Day) If CrossesUnder(C,trail,0) Then ExitLong("LX","",size[1],0, CloseExit,Day) End If If (longOnly trail[1] And C[1]>trail[2] Then trail = maxVal Else If Ctrail[1] And C[1]trail[2] Then trail = shortStop Else trail = C End If End If End If
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http://www.traders.com/Documentation/FEEDbk_Docs/2... End If End If ATR_TRAIL_STOP = trail End Function '_____________________________________________ Function ATRM_Wilder(WilderLen) ' computes average true range as modified using Wells Wilder averaging method Dim AvgRng As BarArray Dim HiLo As BarArray Dim Href As BarArray Dim Lref As BarArray Dim HLmax As BarArray Dim LHmax As BarArray Dim Diff1 As BarArray Dim Diff2 As BarArray AvgRng = Average(H - L, WilderLen) HiLo = IIF(H - L < 1.5 * AvgRng, H - L, 1.5*AvgRng) HLmax = (H - C[1]) - (L - H[1]) / 2 Href = IIF(L = L[1], C[1] - L, LHmax) Diff1 = Max(HiLo,Href) Diff2 = Max(Diff1,Lref) ATRM_Wilder = XAverage(Diff2,WilderLen*2-1,0) End Function '_____________________________________________ Function ATRM_TRAIL_STOP(WilderLen,multATR) ' coputes the modified ATR trailing stop ' suggested default parameters: WilderLen = 5, multATR = 3.5 Dim loss Dim longStop Dim shortStop Dim maxVal Dim minVal Dim ATRval As BarArray Dim trail As BarArray loss = ATRM_Wilder(WilderLen)*multATR longStop = C - loss shortStop = C + loss maxVal = Max(trail[1],longStop) minVal = Min(trail[1],shortStop) If C>trail[1] And C[1]>trail[2] Then trail = maxVal Else If Ctrail[1] And C[1]trail[2] Then trail = shortStop Else trail = C End If End If End If End If ATRM_TRAIL_STOP = trail End Function '_____________________________________________ 'ATR Trailing Stop Indicator sub ATR_TRAIL_STOP_IND(WilderLen,multATR) plot1(ATR_TRAIL_STOP(WilderLen,multATR)) End Sub '_____________________________________________ 'ATR Modified Trailing Stop Indicator Sub ATRM_TRAIL_STOP_IND(WilderLen,multATR) plot1(ATRM_TRAIL_STOP(WilderLen,multATR)) End Sub '_____________________________________________ —Richard Denning for TradersStudio
[email protected]
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STRATASEARCH: AVERAGE TRUE RANGE TRAILING STOPS In the current series of articles by Sylvain Vervoort on stop methods, including the one in this issue, “Average True Range
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http://www.traders.com/Documentation/FEEDbk_Docs/2... In the current series of articles by Sylvain Vervoort on stop methods, including the one in this issue, “Average True Range Trailing Stops,” Vervoort has provided some helpful methods for implementing trailing stops. Based on our tests, the strategy presented in this month’s article provides some performance increases over the methods discussed in his article last month (“Using Initial And Trailing Stops”). In our tests, both the fixed-percentage trailing stop method and the modified ATR trailing stop method were run against the NASDAQ 100 components from 2004 to 2007 using a spread of 0.04 and commissions of $10.00 on either side. A range of variables was also added to test the percentage, period, and factor values. Surprisingly, every parameter set for both of the trailing stop approaches created profitable results. However, the modified ATR trailing stop clearly had the better performance, with higher returns and shorter holding periods.
FIGURE 9: STRATASEARCH, MODIFIED ATR WITH TRAILING STOPS. One approach is to buy when the price rises above the modified ATR line, and sell when the price crosses below.
One issue, noted last month in this column as well, is that the percentage profitability never rose above 50% for either approach. Likewise, both approaches performed poorly when tested exclusively in 2008. Thus, these trailing stops may benefit greatly from the use of supporting indicators. The automated search in StrataSearch can help users find supporting indicators that improve either of these trailing-stop approaches. As with all other StrataSearch Traders’ Tips, additional information, including plugins, can be found in the Shared Area of the StrataSearch user forum. //**************************************************** // ATR Modified //**************************************************** period = parameter("Period"); HiLo=If(H-L 100, 100, param1); $atrfact := choose(param2 < 1, 1, param2 > 10, 10, param2); MidPrice := H-L; $HiLo := if(MidPrice < 1.5*average(MidPrice, $period), MidPrice, 1.5*average(MidPrice, $period)); $Href := if (L = L(1), C(1)-L, ((C(1)-L)-(L(1)-H))/2); diff1 := maxlist($HiLo, $Href); diff2 := maxlist(diff1, $Lref); $atrmod := 1/$period*diff2 + ($period-1)/$period*qc_xaverage(1,diff2,$period); $loss := $atrfact*$atrmod; plot1 := $atrmod; plot2 := choose(C>plot2(1) and C(1)>plot2(1), maxlist(plot2(1),C-$loss), Cplot2(1), C-$loss, C+$loss); success2 := date(0) > param3; A downloadable version of the indicator will be available at the NeoTicker blog site (http://blog.neoticker.com). —Kenneth Yuen, TickQuest Inc. www.tickquest.com
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TRADECISION: AVERAGE TRUE RANGE TRAILING STOPS In his series of articles on stop methods, Sylvain Vervoort demonstrates the importance of considering a warning signal and setting stops at the right time to avoid getting stopped out by the normal noise of the market. This issue’s article, “Average True Range Trailing Stops,” describes a trailing-stop method based on the average true range (ATR) trailing stop. Using the Function Builder in Tradecision, create the Stop_Trail_ATR_Mod function for a modified ATR trailing stop value as follows: function (Period:numeric=5,atrfact:Numeric=3.5):Numeric; var HiLo:=0; Href:=0;
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http://www.traders.com/Documentation/FEEDbk_Docs/2... 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(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 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);
FIGURE 12: TRADECISION, MODIFIED AVERAGE TRUE RANGE TRAILING STOP. Here is a 3.5 times five-period modified ATR average plotted on a chart of DD.
As mentioned in Vervoort’s article, you’ll need to enter the starting date manually. To define Date(), use a numeric value in the Yymmdd format. Date returns “080102” if the day is January 2, 2008. See Figure 12. To import the strategy into Tradecision, visit the area “Traders’ Tips from TASC magazine” at http://tradecision.com/support /tasc_tips/tasc_traders_tips.htm or copy the code from the STOCKS & COMMODITIES website at www.Traders.com. —Yana Timofeeva Alyuda Research, Inc. 510 931-7808,
[email protected] www.tradecision.com
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NINJATRADER: AVERAGE TRUE RANGE TRAILING STOPS The ATR trailing stop technique discussed by Sylvain Vervoort in his article in this issue, “Average True Range Trailing Stops,” has been implemented as an indicator available for download at www.ninjatrader.com/SC/June2009SC.zip. Once it is downloaded, from within the NinjaTrader Control Center window, select the menu File > Utilities > Import NinjaScript and select the downloaded file. This indicator is for NinjaTrader version 6.5 or greater.
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http://www.traders.com/Documentation/FEEDbk_Docs/2... NinjaScript and select the downloaded file. This indicator is for NinjaTrader version 6.5 or greater. You can review the indicator’s source code by selecting the menu Tools > Edit NinjaScript > Indicator from within the NinjaTrader Control Center window and selecting “ATRTrailingStop.” A sample chart is shown in Figure 13. NinjaScript indicators are compiled DLLs that run native, not interpreted, which provides you with the highest possible performance.
FIGURE 13: NINJATRADER, ATR TRAILING STOP. Here is an example of the ATR trailing stop indicator on a daily chart of AMD.
—Raymond Deux & Josh Peng NinjaTrader, LLC www.ninjatrader.com
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WAVE59: AVERAGE TRUE RANGE TRAILING STOPS In “Average True Range Trailing Stops” in this issue, Sylvain Vervoort implements an ATR stop algorithm that he uses as both a reversal system and as a way to apply a trailing stop to open positions entered using other methods. We were interested to see how Vervoort’s trailing stop method handled recent action in the volatile stock indexes, so we applied it to the Dow Jones Industrial Average. You can see in Figure 14 that it stayed short for the latter half of 2008 and reversed to a long position in March 2009. According to this tool, the market looks ready to regain some of the losses posted last year. Just be wary if we cross back underneath the red line!
FIGURE 14: WAVE59, ATR TRAILING STOP. Here is Vervoort’s trailing stop method applied to the Dow Jones Industrial Average. It stayed short for the latter half of 2008 and reversed to a long position in March 2009.
We are offering four scripts that implement Vervoort’s approach in Wave59. As always, users of Wave59 can download these scripts directly using the QScript Library, found at http://www.wave59.com/library. Indicator 1: ATR reversal system #This script plots Sylvain Vervoort's ATR Stop Value #as described in the June 2009 issue of Stocks&Commodities #Period: period to get ATR value, using wilder's average function #Multiplier: factor to multiply the ATR value by to calculate stop amount #Act_as_System: if true, use as trading system, otherwise just lines input:period(5),multiplier(3.5),act_as_system(false),color(red),thickness(1); #initialize variables if (barnum==barsback) { stopval=close; buysell=1; } #calculate atr values atr=wilder_average(truerange(),period); bigatr=atr*multiplier; #calculate long stops if (buysell>0) {
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http://www.traders.com/Documentation/FEEDbk_Docs/2... if (buysell>0) { stopval=close-bigatr; stopval=max(stopval,stopval[1]); if (close0) { stopval=close-bigatr; stopval=max(stopval,stopval[1]); if (close
