Percent Trailing Stop Using Data2

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TrendFirst
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Percent Trailing Stop Using Data2

Postby TrendFirst » 26 Dec 2018

I have built a strategy that uses Strat1 to enter long, and then exits using the Multicharts Percent Trailing LX strategy. During testing I found the backtesting results to be overwhelmingly positive, which I have seen before with the Percent Trailing LX exit. So I turned on IntraBarOrderGeneration and Bar Magnifier to get more representative results, and this looks more realistic. But IOG and Bar Magnifier are agonizingly slow, especially with walk forward optimization. And my workstation with an Intel Core i9-7900 X CPU is no slouch, either. I would like to find a faster way to deal with this issue.

So I began investigating other ways to get a more accurate exit in backtesting without using IOG and Bar Magnifier. One idea I came up with was use a data2 stream at a smaller time frame, and apply the Percent Trailing LX exit to data2. Data1 is a 1 hour chart, and I thought a Data2 stream at 1 minute would do the trick. But I'm having issues getting this idea to work with the Percent Trailing LX exit. The exits seem to be the same, no matter what time frame I select for Data2. I take this to mean that my implementation of this idea has not been done properly. I'm used to using the "DataN" keyword with variables, but there are no variables in the Percent Trailing LX script.

Any suggestions on how to properly do this? Thanks.

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Anna MultiCharts
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Re: Percent Trailing Stop Using Data2

Postby Anna MultiCharts » 29 Jan 2019

Hello, TrendFirst!

If you need to send the orders more often than once in an hour, then you should either use a smaller resolution for Data1 (which is your main trading data series), or use IOG. Having Data2 with a smaller data range won’t give you more frequent trades as it’s not a trading data series.

TrendFirst
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Re: Percent Trailing Stop Using Data2

Postby TrendFirst » 29 Jan 2019

So Data1 is the only data stream that can be used for trading, it sounds like. And Data2 cannot be used to count bars for the LX strategy?

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TJ
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Re: Percent Trailing Stop Using Data2

Postby TJ » 30 Jan 2019

You can only trade on data1.

You should always use the fastest fractal as data1.
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