30 Minute Break Out utilizing a Ratchet Stop [7 point profit with 6 point retention]I have always been a big fan of trailing stops. They serve two purposes – lock in some profit and give the market room to vacillate. A pure trailing stop will move up as the market makes new highs, but a ratcheting stop (my version) only moves up when a certain increment or multiple of profit has been achieved. Here is a chart of a simple 30 minute break out on the ES day session. I plot the buy and short levels and the stop level based on whichever level is hit first.
When you program something like this you never know what is the best profit trigger or the best profit retention value. So, you should program this as a function of these two values. Here is the code.
inputs: ratchetAmt(6),trailAmt(6);
vars:longMult(0),shortMult(0),myBarCount(0);
vars:stb(0),sts(0),buysToday(0),shortsToday(0),mp(0);
vars:lep(0),sep(0);
If d <> d[1] then
Begin
longMult = 0;
shortMult = 0;
myBarCount = 0;
mp = 0;
lep = 0;
sep = 0;
buysToday = 0;
shortsToday = 0;
end;
myBarCount = myBarCount + 1;
If myBarCount = 6 then // six 5 min bars = 30 minutes
Begin
stb = highD(0); //get the high of the day
sts = lowD(0); //get low of the day
end;
If myBarCount >= 6 and buysToday + shortsToday = 0 and high >= stb then
begin
mp = 1; //got long - illustrative purposes only
lep = stb;
end;
If myBarCount >=6 and buysToday + shortsToday = 0 and low <= sts then begin
mp = -1; //got short
sep = sts;
end;
If myBarCount >=6 then
Begin
plot3(stb,"buyLevel");
plot4(sts,"shortLevel");
end;
If mp = 1 then buysToday = 1;
If mp =-1 then shortsToday = 1;
// Okay initially you want a X point stop and then pull the stop up
// or down once price exceeds a multiple of Y points
// longMult keeps track of the number of Y point multipes of profit
// always key off of lep(LONG ENTRY POINT)
// notice how I used + 1 to determine profit
// and - 1 to determine stop level
If mp = 1 then
Begin
If h >= lep + (longMult + 1) * ratchetAmt then longMult = longMult + 1;
plot1(lep + (longMult - 1) * trailAmt,"LE-Ratchet");
end;
If mp = -1 then
Begin
If l <= sep - (shortMult + 1) * ratchetAmt then shortMult = shortMult + 1;
plot2(sep - (shortMult - 1) * trailAmt,"SE-Ratchet");
end;
Ratcheting Stop Code
So, basically I set my multiples to zero on the first bar of the trading session. If the multiple = 0 and you get into a long position, then your initial stop will be entryPrice + (0 – 1) * trailAmt. In other words your stop will be trailAmt (6 in this case) below entryPrce. Once price exceeds or meets 7 points above entry price, you increment the multiple (now 1.) So, you stop becomes entryPrice + (1-1) * trailAmt – which equals a break even stop. This logic will always move the first stop to break even. Assume the market moves 2 multiples into profit (14 points), what would your stop be then?
See how it ratchets. Now you can optimized the profit trigger and profit retention values. Since I am keying of entryPrice your first trailing stop move will be a break-even stop.
This isn’t a strategy but it could very easily be turned into one.
Advanced Topics Edition just added to Easing Into EasyLanguage Series
Foundation Edition Cover
Hello to All! The Easing Into EasyLanguage Series is now complete with the publication of the Advanced Topics Edition. This series includes three educational editions. Start out with the Foundation Edition. It is designed for the new user of EasyLanguage or for those you would like to have a refresher course. There are 13 tutorials ranging from creating Strategies to PaintBars. Learn how to create your own functions or apply stops and profit objectives. Ever wanted to know how to find an inside day that is also a Narrow Range 7 (NR7?) Now you can, and the best part is you get over 4 HOURS OF VIDEO INSTRUCTION – one for each tutorial. All source code is available too, and if you have TradeStation, so are the workspaces. Plus you can always email George for any questions. george.p.pruitt@gmail.com.
Hi-Res Edition Cover
This book is for those that have read the Foundation Edition or have some experience working with EasyLanguage and the various functions that help make a trading decision. This book’s audience will be those programmers that want to take an idea, that requires an observation of intraday market movements to make a trading decision, and program it accurately. If you have programmed daily bar systems, and you want to drill down and add some components that require additional market information (like what came first – the high or the low), then you have come to the right place. If you want to buy and sell short in the same day and use trade management principles such as profit targets and stop losses then The Hi-Res Edition is the book you need. There are two paradigms that EasyLanguage covers: daily and intraday bar programming. It’s the same language, but the move from daily to intraday programming can be quite difficult. Learn all the essentials and shortcuts with this edition. 5 HOURS OF VIDEO INSTRUCTION in this Hi-Res edition – one for each tutorial. All source code is available too, and if you have TradeStation, so are the workspaces. Plus you can always email George for any questions. george.p.pruitt@gmail.com.
Advanced Topics Cover
Advanced Topics (AT) could cover a vast amount of ideas and concepts and be the length of “War and Peace” on steroids. Since this book is part of the series, I wanted to cover a handful of concepts that included the follow programming constructs. Arrays and their manipulation. Buffers (fixed length arrays) and the tools to maintain buffer elements with formulas for extraction and sorting. Finite State Machines using the switch-case construct and range based case values. Using original text graphic objects and retrieving and analyzing their properties to determine X and Y coordinate values of text location. Seasonality: The Ruggiero/Barna Universal Seasonal and the Sheldon Knight Seasonal methods. In AT, you will also find an introduction to EasyLanguage’s Project Concept and the steps to create one by adding/deleting component files. Learn also how to import and export projects. TradeStation now provides access to fundamental data such as Commitment of Traders – learn how to convert the Net Change indicator into a strategy utilizing the FundValue functionality. If you wanted to find out how to merge multiple time frames into a single indicator, you are in luck! Create a MTF indicator for yourself.
Pick up your copies today – e-Book or paperback format – at Amazon.com