Greetings --
Assuming the conversation is about sell stops implemented as stop orders. If a security is trading at 100, the order to exit the trade if the price falls to or below 98 might be "Sell at 98, Stop, GTC" The logic is straightforward.
1. Initialize the ExitPrice on the bar the entry is signaled or executed (or perhaps a bar or two later).
2. Design a rule that will signal when the ExitPrice should be adjusted. Use either array formulas or looping code to test each bar and adjust exit price as necessary. Some traders prefer to have the trailing exit price move as a ratchet -- only in the direction that increases the profit of the trade. Meaning that, for a long position, the exit price can only move higher -- never lower.
3. Issue a Sell signal when the Low of a bar falls to or below the Exit Price. The SellPrice will be ExitPrice minus some Slippage.
Slippage is one of the problems. In highly liquid markets when trading is orderly, slippage might be a cent or two. For an illiquid issue and a fast market, slippage can be a high percentage of the price.
To "help" traders avoid losses due to excessive slippage, exchanges, clearing houses, and brokerages are restricting the use of 1) Stop orders and 2) GTC (Good 'Til Cancelled) orders.
http://www.smarteranalyst.com/2015/11/29/what-to-do-after-nyse-bans-stop-orders/
http://www.smarteranalyst.com/2015/11/29/what-to-do-after-nyse-bans-stop-orders/
Verify that a system that uses either GTC or Stop orders will be accepted by the brokerage, clearing house, and exchange where it will be traded. The alternative is to compute ExitPrice as usual, monitor intra-day trading watching for price to trigger the order, then enter a Market order with the broker.
Best,
Howard
On Tue, Mar 29, 2016 at 12:50 AM, 'Edward Pottasch' empottasch@skynet.be [amibroker] <amibroker@yahoogroups.com> wrote:
i have been playing around with similar systems as well. It is tough to make it profitable.here is 1 that is meant for futures and it scales in or adds to the position whenever a pivot high is broken and switches to short when a pivot low is broken: http://wisestocktrader.com/indicatorpasties/1642-piv-scalingsee example chartSent: Monday, March 28, 2016 2:52 AMSubject: [amibroker] Sell Stops [1 Attachment]Hi, could someone guide me to code to be able to reflect stops as follows:
1. The initial stop is just below the last significant trough.
2. Each time the price makes a new high for the trend by rising above
the last peak, the sell stop level for the whole position is trailed up to just
below the last significant confirmed trough
This is shown as per the attached.
The idea is taken from Colin Nicholson's book Building Wealth in The Stock Market.
Any help will be appreciated.
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Posted by: Howard B <howardbandy@gmail.com>
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