ATR Trailing Stop - Wealth Lab Forum

ATR Trailing Stop

Author: wphill

Creation Date: 11/7/2010 3:17 PM

Wealth Lab » Trading Strategies » ATR Trailing Stop

wphill

11/7/2010 3:17 PM

I am aware of the script below but it does much more than I need. I am trying to find an existing code for as a trailing atr stop when there was previously an entry as the result of a rising trend. Parameters would include an atr period and an atr multiplier, though the intial stop percentage that is included in the code below is nice to have. The date that an entry/buy is made...from my basic understanding...really determines where the exit is made...but, I was hoping to be able to have something built-in that shows a buy at what may be loosely considered as part of a rising trend from a recent low.

Fwiw...i tried getting access to the code at wiki:TASC 2009-06 | Modified ATR Trailing Stop (Vervoot) .
However, the code is not available. Is this because it is not supported by Fidelity?

Below is the more extensive code posted elsewhere by Cone:

CODE:
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Fwiw...i tried getting access to the code at wiki:TASC 2009-06 | Modified ATR Trailing Stop (Vervoot) .
However, the code is not available. Is this because it is not supported by Fidelity?

Below is the more extensive code posted elsewhere by Cone:

[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using 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 ATRTrailingStopsSAR : WealthScript
	{
		private StrategyParameter _initStop = null;
		private StrategyParameter _period = null;
		private StrategyParameter _atrMult = null;
		
		public ATRTrailingStopsSAR()
		{			
			_initStop = CreateParameter("Initial Stop %", 10, 0.5, 50.0, 0.5); 
			_period = CreateParameter("ATR Period", 5, 2, 100, 1);
			_atrMult = CreateParameter("ATR Multiplier", 3.5, 1.0, 5.0, 0.1);
		}
		
		/* Execute a strategy - trade on a specified date */
		protected override void Execute()
		{			
			double stop = _initStop.Value / 100d;
			// After creating a position, initialize a stop object
			BuyAtMarket(1);
			Position p = LastPosition;
			ATRTrail atrStop = new ATRTrail(this, Bars, true, Close[1] * (1 - stop), _period.ValueInt, _atrMult.Value);
			
			for(int bar = 1; bar < Bars.Count; bar++)
			{						
				if (p.PositionType == PositionType.Long)
				{
					if( Close[bar] < atrStop.Price(bar) )
					{
						ExitAtMarket(bar + 1, p);
						ShortAtMarket(bar + 1);
						p = LastPosition;
						atrStop = new ATRTrail(this, Bars, false, Close[bar] * (1 + stop), _period.ValueInt, _atrMult.Value);						
					}
				}
				else if( Close[bar] > atrStop.Price(bar) )
				{
					ExitAtMarket(bar + 1, p);
					BuyAtMarket(bar + 1);
					p = LastPosition;
					atrStop = new ATRTrail(this, Bars, true, Close[bar] * (1 - stop), _period.ValueInt, _atrMult.Value);
				}

}			
		}
	}
}[/CODE]

Eugene

11/7/2010 3:52 PM

QUOTE:
Fwiw...i tried getting access to the code at wiki:TASC 2009-06 | Modified ATR Trailing Stop (Vervoot) .
However, the code is not available. Is this because it is not supported by Fidelity?

Because you're not registered / not activated / not logged in. The page instructs, log in to the Wiki to see the code.

wphill

11/7/2010 5:14 PM

QUOTE:
Because you're not registered / not activated / not logged in. The page instructs, log in to the Wiki to view the code.

I did attempt to register. Awaiting email to yahoo mail to activate. Being logged into this site does not do the job. Meanwhile, I will wait to see what awaits me at wiki and see if that particular code is what will work for me.

Eugene

11/8/2010 12:53 AM

QUOTE:
Being logged into this site does not do the job.

Right, that's two independent sites.

QUOTE:
Awaiting email to yahoo mail to activate.

The mail is usually sent (almost) instantly = no need to wait. Check your junk mail folder (chances are, the message is already sitting there). If still no go, try email from a different vendor.

wphill

11/8/2010 9:51 AM

Yes. All code now available. I had to check junk mail folder. Shucks. To me it is all junk.
But, now I have a bigger problem...please see new ticket. Hopefully, an easy fix. thx.