Convert "ATR Trailing Stop" of ThinkorSwim

Author: marron

Creation Date: 4/6/2011 7:25 PM

Wealth Lab » Technical Indicators » Convert "ATR Trailing Stop" of ThinkorSwim

marron

4/6/2011 7:25 PM

Please help to convert the below code, from ThinkorSwim into WL.net.

Thank a lot.

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Please help to convert the below code, from ThinkorSwim into WL.net.

Thank a lot.

[CODE]
# @new
#
# thinkorswim, inc. (c) 2009
#

input trailType = {default modified, unmodified};
input ATRPeriod = 5;
input ATRFactor = 3.5;
input firstTrade = {default long, short};

def HiLo = Min(high - low, 1.5 * Average(high - low, ATRPeriod));
def HRef = if low <= high[1]
    then high - close[1]
    else (high - close[1]) - 0.5 * (low - high[1]);
def LRef = if high >= low[1]
    then close[1] - low
    else (close[1] - low) - 0.5 * (low[1] - high);
def ATRMod = ExpAverage(Max(HiLo, Max(HRef, LRef)), 2 * ATRPeriod - 1);

def loss;
switch (trailType) {
case modified:
    loss = ATRFactor * ATRMod;
case unmodified:
    loss = ATRFactor * AvgTrueRange(high, close, low, ATRPeriod);
}

rec state = {default init, long, short};
rec trail;
switch (state[1]) {
case init:
    if (!IsNaN(loss)) {
        switch (firstTrade) {
        case long:
            state = state.long;
            trail =  close - loss;
        case short:
            state = state.short;
            trail = close + loss;
        }
    } else {
        state = state.init;
        trail = Double.NaN;
    }
case long:
    if (close > trail[1]) {
        state = state.long;
        trail = Max(trail[1], close - loss);
    }
    else {
        state = state.short;
        trail = close + loss;
    }
case short:
    if (close < trail[1]) {
        state = state.short;
        trail = Min(trail[1], close + loss);
    }
    else {
        state = state.long;
        trail =  close - loss;
    }
}

def BuySignal = Crosses(state == state.long, 0, CrossingDirection.Above);
def SellSignal = Crosses(state == state.short, 0, CrossingDirection.Above);

plot TrailingStop = trail;

TrailingStop.SetPaintingStrategy(PaintingStrategy.POINTS);
TrailingStop.DefineColor("Buy", GetColor(0));
TrailingStop.DefineColor("Sell", GetColor(1));
TrailingStop.AssignValueColor(if state == state.long
    then TrailingStop.color("Sell")
    else TrailingStop.color("Buy"));

[/CODE]

Cone

4/6/2011 11:35 PM

You might have better luck just posting the rules in English.

Does this happen to be Vervoot's modified ATR stop from TASC magazine June 2009? Note that this solution is for discretionary trading, per the article.

DartboardTrader

4/8/2011 11:25 AM

Funny timing, I just implemented this over last weekend.

The output compares almost identically to what I see in TOS Desktop. The difference may be in the EMA implementations on TOS vs WL.

Enjoy!
--Mike

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Funny timing, I just implemented this over last weekend.

The output compares almost identically to what I see in TOS Desktop. The difference may be in the EMA implementations on TOS vs WL.

Enjoy!
--Mike

[CODE]
using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

// 20110408 DartboardTrader  - "ATR Trailing Stop"

namespace WealthLab.Strategies
{
        public class ATRTrailingStop : WealthScript
        {
                StrategyParameter trailType;
                StrategyParameter atrp;
                StrategyParameter atrf;
                StrategyParameter firstTrade;
                public ATRTrailingStop()
                {
                        trailType = CreateParameter("Trail(0=mod)",0,0,1,1);
                        atrp = CreateParameter("ATR Period",5,1,50,1);
                        atrf = CreateParameter("ATR Factor",3.5,1,10,0.25);
                        firstTrade = CreateParameter("1stTrade(0=L,1=S)",0,0,1,1);
                }

DataSeries Max_Series(DataSeries a, DataSeries b)
                {
                        DataSeries r = a*0;
                        for (int i = a.Count-1; i >=0; --i)
                        {
                                r[i] = Math.Max(a[i],b[i]);
                        }
                        r.Description = "Max("+a.Description+","+b.Description+")";
                        return r;
                }

DataSeries ATRMod_Series(Bars b, int period)
                {
                        DataSeries r;
                        DataSeries Average=SMA.Series(b.High-b.Low,period);
                        DataSeries HiLo = b.Close*0;
                        DataSeries HRef = b.Close*0;
                        DataSeries LRef = b.Close*0;
                        for (int i = period; i < b.Count; ++i)
                        {
                                double h = b.High[i];
                                double l = b.Low[i];
                                double c = b.Close[i];
                                HiLo[i]  = Math.Min(h-l, 1.5*Average[i]);
                                HRef[i] = (l <= b.High[i-1]) ? h-b.Close[i-1]
                                        : h-b.Close[i-1] - 0.5*(l-b.High[i-1]);
                                LRef[i] = (h >= b.Low[i-1]) ? b.Close[i-1]-l
                                        : b.Close[i-1]-l - 0.5*(b.Low[i-1]-h);
                        }
                        r = EMA.Series(Max_Series(HiLo,Max_Series(HRef,LRef)),2*atrp.ValueInt-1, WealthLab.Indicators.EMACalculation.Modern);
                        return r;
                }

public bool IsNaN(double v)
                {
                        return v == double.NaN;
                }
                protected override void Execute()
                {
                        DataSeries ATRMod = ATRMod_Series(Bars,atrp.ValueInt);

DataSeries BuySellSignal = Close*0;
                        DataSeries loss = (trailType.ValueInt==0) ? atrf.Value*ATRMod
                                : atrf.Value*ATR.Series(Bars, atrp.ValueInt);
                        DataSeries trail = Close*0;
                        DataSeries state = Close*0.0; // init,long,short;

DataSeries C = Close;
                        for(int bar = 20; bar < Bars.Count; bar++)
                        {
                                int i = bar;
                                switch ((int)state[i-1])
                                {
                                        case 0:
                                                if (!IsNaN(loss[i])) {
                                                        switch (firstTrade.ValueInt) {
                                                                case 0:
                                                                        state[i] = (int)1;
                                                                        trail[i] =  C[i] - loss[i];
                                                                        break;
                                                                case 1:
                                                                        state[i] = (int)2;
                                                                        trail[i] = C[i] + loss[i];
                                                                        break;
                                                        }
                                                } else {
                                                        state[i] = (int)0;
                                                        trail[i] = double.NaN;
                                                }
                                                break;
                                        case 1:
                                                if (C[i] > trail[i-1]) {
                                                        state[i] = (int)1;
                                                        trail[i] = Math.Max(trail[i-1], C[i] - loss[i]);
                                                }
                                                else {
                                                        state[i] = (int)2;
                                                        trail[i] = C[i] + loss[i];
                                                }
                                                break;
                                        case 2:
                                                if (C[i] < trail[i-1]) {
                                                        state[i] = (int)2;
                                                        trail[i] = Math.Min(trail[i-1], C[i] + loss[i]);
                                                }
                                                else {
                                                        state[i] = (int)1;
                                                        trail[i] =  C[i] - loss[i];
                                                }
                                                break;
                                        }
                                // BuyStop = 1, SellStop = -1
                                BuySellSignal[bar] = (state[i] == (int)1)? 1 : -1;

bool AnyActivePositions  = false;
                                for (int n = ActivePositions.Count-1; n>=0; --n)
                                {
                                        Position p = ActivePositions[n];
                                        AnyActivePositions = true;
                                        if (p.EntrySignal.Contains("|g1|"))
                                        {
                                                if( trail[bar] < Close[bar])
                                                {
                                                        ExitAtStop(bar+1,p,trail[bar]);
                                                }
                                        }
                                }
                                if (AnyActivePositions == false)
                                {
                                        if (BuySellSignal[bar] == 1)
                                        {
                                                BuyAtClose(bar+1,"|g1|");
                                        }
                                }
                        }
                        PlotSeries(PricePane,trail,Color.Black,LineStyle.Dots,5);
                        ChartPane p1 = CreatePane(100,true,true);
                        PlotSeriesOscillator( p1, BuySellSignal, 0, 0, Color.Green, Color.Red, Color.CadetBlue, LineStyle.Solid, 1 );
                }
        }
}

[/CODE]

Eugene

4/8/2011 4:07 PM

Mike,

I guess that this is unconditionally false:

CODE:
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By definition, NaN is equal to nothing, and NaN even != NaN. Try this:

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Cone

4/9/2011 5:57 PM

Here's another way to do the job based on the Wealth-Lab code in the Traders' Tip that I mentioned previously.

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Here's another way to do the job based on the Wealth-Lab code in the Traders' Tip that I mentioned previously.

[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class ModifiedATRSR : WealthScript
	{
		private StrategyParameter _period = null;
		private StrategyParameter _atrMult = null;

public ModifiedATRSR()
		{
			_period = CreateParameter("ATR Period", 5, 2, 100, 1);
			_atrMult = CreateParameter("ATR Multiplier", 3.5, 1.0, 5.0, 0.1); 
		}

/* 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.Black, LineStyle.Dashed, 2);
				return stopPrice;
			}
		}
   		
		protected override void Execute()
		{		
			double stop = 0;
			int n = _period.ValueInt;
			BuyAtMarket(n + 1);
			Position p = LastPosition;
			DataSeries atrMod = _atrMult.Value * TASCIndicators.ATRModified.Series(Bars, _period.ValueInt);
			ATRTrail atrStop = new ATRTrail(this, Bars, true, Close[n] - atrMod[n], _period.ValueInt, _atrMult.Value);
			
			for(int bar = _period.ValueInt + 1; bar < Bars.Count; bar++)
			{				
				p = LastPosition;
				if (p.PositionType == PositionType.Long)
				{
					if ( Close[bar] < atrStop.Price(bar) )
					{
						ExitAtMarket(bar + 1, p);
						ShortAtMarket(bar + 1);						
						atrStop = new ATRTrail(this, Bars, false, Close[bar] + atrMod[bar], _period.ValueInt, _atrMult.Value);
					}					
				}
				else
				{
					if ( Close[bar] > atrStop.Price(bar) )
					{
						ExitAtMarket(bar + 1, p);
						BuyAtMarket(bar + 1);						
						atrStop = new ATRTrail(this, Bars, true, Close[bar] - atrMod[bar], _period.ValueInt, _atrMult.Value);
					}
				}				
			}
		}
	}
}[/CODE]