Holding trailingstop overnight

evdl · Postby **evdl** » 10 Oct 2012

Hi,

I was wondering if someone has already a solution in place to keep the trailingstop value when going overnight with a position (with autotrading).

At the moment I am using a trailingstop that is triggered at a certain level. Every night the autotrader is switched off (by TWS or other circumstances). And then the trailingstop is also cancelled. When you put the autotrader back on the next morning, I need to have the value of the trailingstop and use that. Now the strategy will use the normal stoploss the next morning until the certain level is hit again. It is not always the case that the trigger level is reached again. Resulting in a bigger stoploss than the trailingstop.

I was thinking of an ADE solution with writing the value to a text file and read it back in MC, but I am not sure it will work if you put the ADE sender and ADE receiver in one signal (strategy) on the same chart. Because it can occur that the strategy is writing and sending at the same time, resulting an error normally.

Anyone with idea's?

Andrew MultiCharts · Postby **Andrew MultiCharts** » 10 Oct 2012

Have you thought about using IB Gateway instead of IB TWS? You won't be able to see what's going on in Gateway on IB end (only through our Order and Position Tracker window), but it doesn't require 1 logout per 24 hours.

evdl · Postby **evdl** » 10 Oct 2012

Thanks Andrew for the suggestion.

I will look into the IB gateway. Altough I think it is usefull to have a sight on what a strategy is doing in TWS. Certainly when changing and testing new ideas. But it can work for the overnight situation if the strategy is proven.

Next to going overnight with a position, I have made a spike control in my strategy. When in bar a certain pricemovement is spotted, the stoploss and profittarget is interrupted. So that spikes will not trigger any targets. After the spike is handled, the strategy has to resume normal procedure with the last value of the trailingstop (if that was in place at that moment). Now it will resume the strategy but with the normal stoploss and not with the trailingstop. So I am looking for a solution for overnight but also for on the day itself.

evdl · Postby **evdl** » 06 Nov 2012

I don't like threads that have an open end with no solution. In the meantime I managed to solve my own post. So here it goes.

This is with autotrader only, and with use of ELcollections/ADE dll (see forum how to install this). With this code you can sync the brokerposition with the strategy position (when you turn autotrader on) and be able to store the trailingstop value (if triggered ofcourse) when trading and read this value for example the next morning or during the day when the autotrader went off due to circumstances.

When you put on the autotrader back on. It syncs your position and reads the last known trailingstop value. For best use, you have to incorporate this code in your own strategy and pay attention to the order of code. Also included is spikecontrol. In case of spikes your targets are not triggered.

Code: Select all

// DESCRIPTION:

// Code to sync the broker position with the strategy position in Multicharts when using AUTOTRADER.

// In this code I use a fixed profit and stoploss and a trailing stop loss.

// The trailing stoploss is stored in a csv file that will be used to read the trailing value

// the next day (overnight) when the autotrader is put on again. 



[IntrabarOrderGeneration = True] 

[LegacyColorValue = TRUE];



DEFINEDLLFUNC: "kernel32.dll", int, "GetTickCount";



inputs:

// TIME INPUTS

Begin_time_Trade (900), // start time for engaging trades

End_time_Trade (2300), // end time for trading

Begin_time_Targets (800), // start time for enabling profit/stoploss targets

End_time_Targets(2300), // end time for disabling profit/stoploss targets. Usefull for end of market when price are crazy

Begin_time_Sync (700), // start time for enabling syncing

End_time_Sync (2300), // end time for syncing

// SYNCING INPUTS 

TimeOutMS(1500), // time interval between detection of difference between marketposition and an correction order (1000ms =1 sec)

LatencyMS(1500), // time interval between correction order and reinstating monitoring (1000ms = 1 sec)

// PROFIT TARGETS AND STOPLOSS INPUTS

StockAmt (1000), // amount of stocks

ProfittargetAmt (500), // profittarget

RiskRewardAmt (2), // riskreward

TrailingTrigger (150), // amount which the trailing value is triggered

TrailingAmt (500), // trailingamount

Price (Close), // close of the bar

//SPIKE CONTROL

SpikeAmt(0.25); // with AUTOTRADER on, cancels profit/stoploss targets during spikes

 	 	

variables: 

ResultStoploss (0),

Stoploss_Fixed (0),

Stoploss_Fixed_Long (0),

Stoploss_Fixed_Short (0),

Profit_Fixed (0),

Profit_Fixed_Long(0),

Profit_Fixed_Short(0),

Position_profit_loss(0),

Trailing_value(0),

Trailing_value_Long(0),

Trailing_value_short(0),

Intrabarpersist TrailingStop_Trigger (False),

Begin_time_trigger(0),

End_time_trigger(0),

Brokerposition(0),//Actual brokerposition

Sync_trigger(False),

Intrabarpersist _get_tick_count(0),

Intrabarpersist mp_diff(false),

Intrabarpersist mp_diff_time_start(0),

Intrabarpersist mp_corrected(false),

Intrabarpersist mp_corrected_time_start(0),

Intrabarpersist place_correction_marketorder(false),

Intrabarpersist _exit_price(0),

spike_trigger(false),

spike_value(0),

Mp(0),// Actual Multicharts position

// STOPLOSS AND PROFIT TARGET VALUES

Filename_trailing_long("C:\Documents\" + 

 "trailing_value_long_" + getsymbolname + "_" + ".csv"),

Filename_trailing_short("C:\Documents\" + 

 "trailing_value_short_" + getsymbolname + "_" + ".csv"),

Filename_trailing_trigger("C:\Documents\" + 

 "trailing_value_trigger_" + getsymbolname + "_" + ".csv"),

Trailing_value_long_list(ListN.New),

Trailing_value_short_list(ListN.New),

Trailing_value_trigger_list(ListN.New),

TrailingStop_ADE (0),

Trailing_value_long_ADE (0),

Trailing_value_short_ADE (0),

CloseLong (False),

CloseShort (False);



// BEGIN SYNCING ----------------------------------------------------------------------------------

If (time > Begin_time_Sync) and (time < end_time_sync) then begin;

			

// Sync open brokerposition with Multicharts when realtime data and Autotrader is on

// This part is the !From Broker To Strategy MP Synchronizer! signal that is in Multicharts



// Begin syncing

  				

	If (GetAppInfo(aiRealTimeCalc)= 1)and (GetappInfo(aiStrategyAuto)=1) then begin;

		Mp = marketposition * currentContracts; //multicharts position

		BrokerPosition = MarketPosition_At_Broker; //broker position

					

// Multicharts position and brokerposition are different



	If mp <> brokerposition then begin

	     	_get_tick_count = GetTickCount ;



// Status difference in positions	

		If not mp_diff and not mp_corrected then begin

       		mp_diff = true;

       		mp_diff_time_start = _get_tick_count;

		end;



// Start detection difference in positions

		If mp_diff and not mp_corrected then begin

			_exit_price = close; 

			if  _get_tick_count - mp_diff_time_start > TimeOutMS then begin

				place_correction_marketorder = true ;

				mp_corrected = true ;

				mp_corrected_time_start = _get_tick_count ;

			end;

		end;



// Restart monitoring the marketpositions

		if mp_corrected then begin         

      			if (_get_tick_count - mp_corrected_time_start) > LatencyMS then begin

      				mp_corrected_time_start = _get_tick_count ;

      				mp_diff = false;

      				mp_corrected = false;

      			end;

  		end;



// Place correction order

		if place_correction_marketorder then begin

       		place_correction_marketorder = false ;

       		if 0 <> Brokerposition then _exit_price = AvgEntryPrice_at_Broker; 

			ChangeMarketPosition(brokerposition - mp, _exit_price, "Sync Order");

		end;

	end

	else begin

	mp_corrected = false;

	mp_diff = false;

	end;	

   end;

End;



// END SYNCING ---------------------------------------------------------------------------



// START TRAILING VALUE ------------------------------------------------------------------

// SENDER PART: 

// this part is sending the trailing value to the csv file and also to the ELcollections data map



If (time > Begin_time_Sync) and (time < end_time_sync) then begin;



  If (GetappInfo(aiStrategyAuto)=1) and marketposition = 1 and TrailingStop_trigger = true and trailing_value_long > 0 then begin

    If (barstatus(1) = 2)then begin;

     Value8 = ListN.PushBack(trailing_value_long_list, trailing_value_long);

     Value9 = ListN.Setback(trailing_value_long_list, trailing_value_long);

     If Trailing_value_long <> trailing_value_long[2] then

     FileAppend(Filename_trailing_long, Text(numtostr(trailing_value_long,3),newline)); 

    end;

  end;



  If (GetappInfo(aiStrategyAuto)=1) and marketposition = -1 and TrailingStop_trigger = true and trailing_value_short > 0 then begin

   If (barstatus(1) = 2)then begin;

    Value8 = ListN.Pushback(trailing_value_short_list, trailing_value_short);

    Value9 = ListN.Setback(trailing_value_short_list, trailing_value_short);

    If Trailing_value_short <> trailing_value_short[2] then

    FileAppend(Filename_trailing_short, Text(numtostr(trailing_value_short,3),newline)); 

   end; 

  end;



  If (Getappinfo(aiStrategyAuto)=1) and TrailingStop_Trigger = true then begin

   TrailingStop_ADE = 1;

  end

  else begin

   TrailingStop_ADE = 0;

  end;



  If (GetappInfo(aiStrategyAuto)=1) and marketposition <> 0 and TrailingStop_ADE = 1 and trailing_value_short > 0 then begin

   If (barstatus(1) = 2)then begin;

   Value10 = ListN.Pushback(trailing_value_trigger_list, trailingStop_ADE);

   Value11 = ListN.Setback(trailing_value_trigger_list, trailingStop_ADE);

   If TrailingStop_ADE <> trailingStop_ADE[2] then

    FileAppend(Filename_trailing_trigger, Text(trailingStop_ADE,newline)); 

   end;

  end;



// RECEIVER PART TRAILINGVALUE ----------------------------------------------------

// This part is reading the data map during the day and the csv file.



  If ELC.PathExists(Filename_trailing_trigger) then begin

 	value12 = ListN.readfile(trailing_value_trigger_list, Filename_trailing_trigger);

	TrailingStop_ADE = ListN.Back(trailing_value_trigger_list);



   If TrailingStop_ADE = 1 then begin

	TrailingStop_Trigger = true;

       If ELC.PathExists(Filename_trailing_long) = true then begin	

	 Value13 = ListN.readfile(trailing_value_long_list,filename_trailing_long);

	 Trailing_value_long_ADE = ListN.Back(maxlist(trailing_value_long_list));

	end;	

	If ELC.PathExists(Filename_trailing_short) = true then begin

	 Value14 = ListN.readfile(trailing_value_short_list,filename_trailing_short); 

	 Trailing_value_short_ADE = ListN.Back(minlist(trailing_value_short_list));

	end;

   end;

  end;



// Delete csv files after the autotrader has closed the position



   If marketposition <> 0 and (GetappInfo(aiStrategyAuto)=1) and Trailing_value_long > 0 and Trailing_value_short > 0 then begin 

    Closelong = False;

    Closeshort = false;

   end;

   

   If (GetappInfo(aiStrategyAuto)=1) and marketposition = 0 and Trailing_value_long > 0 and Trailing_value_short > 0 then begin

    Closelong = true;

    CloseShort = true;

   end;

      

   if CloseLong = True then begin

    FileDelete(Filename_trailing_trigger);

    FileDelete(Filename_trailing_long);

    value13 = ListN.Clear(trailing_value_trigger_list);

    Value14 = ListN.Clear(trailing_value_long_list);

    CloseLong = False;

   end; 

   

   If CloseShort = True then begin

    FileDelete(Filename_trailing_trigger);

    FileDelete(Filename_trailing_short);

    Value15 = ListN.Clear(trailing_value_short_list);

    CloseShort = False;

   end; 	

End;



// END TRAILING VALUE ---------------------------------------------------	

	

// Spike control, only with AUTOTRADER on

// With the setting in the inputs you can prevent spikes from triggering profit or stoploss targets 

		

	If (GetappInfo(aiStrategyAuto)=1) and date = currentdate then begin

	 spike_value = absvalue(close - close[1]); {Voorkomt dat spikes signalen creeren}

	 spike_trigger = spike_value >= spikeAmt;

	 end

	else begin

	 spike_trigger = false;

	end;



// ENTRY VALUES



	// Determine Profit and stoploss

	Profit_Fixed = ProfittargetAmt/StockAmt;

	Stoploss_Fixed = (profittargetAmt/RiskRewardAmt)/StockAmt;

	ResultStoploss = Profit_Fixed / stoploss_fixed;



// Entry

// You can put your own conditions here	

	Condition1 = price > price[1];

	Condition2 = price < price[1];

		

// Entry Condities

If (barstatus(1) = 2)then begin;

	If time > Begin_time_trigger and time < End_time_trigger then begin

		

		If resultstoploss >= 2 and Condition1 = true then // only take positions with minimal riskreward of 2

	 	if MarketPosition  = 0 then begin

			Buy ("Long") next bar market;

      		end;

	 		 		 	

	 	If resultstoploss >= 2 and Condition2 = true then // only take positions with minimal riskreward of 2

		if MarketPosition = 0 then begin

			Sellshort ("Short") next bar market;

		end;

	end;

End;



// Exit Condities ---------------------------------------------------------------------------------------

// Stoploss and profit target calculated per stock

If time > Begin_time_targets and time < End_time_Targets then begin



	If marketposition = 0 then TrailingStop_Trigger = false;

	If Position_profit_loss >= Trailingtrigger and (trailingtrigger <>0) then trailingstop_trigger = true;



	if marketposition <> 0 then begin

	Trailing_value = ((Position_profit_loss - TrailingAmt)/stockamt);

	Profit_Fixed_Long = AvgEntryprice + Profit_Fixed;

	Profit_Fixed_Short = AvgEntryprice - Profit_Fixed;

	Stoploss_Fixed_Long = AvgEntryprice - Stoploss_Fixed;

	Stoploss_Fixed_Short = AvgEntryprice + Stoploss_Fixed;

	Trailing_value_Long = AvgEntryprice + trailing_value;

	Trailing_value_Short = AvgEntryprice - trailing_value;

	end;



// Profit target fixed

// Long exit:	

	if ProfitTargetAmt > 0 then begin;

		If marketposition = 1 and not spike_trigger then

		Sell ("CloseProfitLong") next bar Profit_Fixed_Long limit;

	end;

// Short exit

	if ProfitTargetAmt > 0 then begin;

		If marketposition = -1 and not spike_trigger then

		BuytoCover ("CloseProfitShort") next bar Profit_Fixed_Short limit;

	end;



// Stoploss fixed -----------------------------------------------------------------

// Long exit:

	if (TrailingStop_Trigger=false) then begin;

		if marketposition = 1 and not spike_trigger then

		Sell ("StopLossLong") next bar Stoploss_Fixed_Long stop;

	end;

// Short exit:	

	if (TrailingStop_Trigger=false) then begin;

		if marketposition = -1  and not spike_trigger then

		Buytocover ("StopLossshort") next bar Stoploss_Fixed_Short stop;

	end;

	

// Trailingstop with activation on specified input -------------------------------

// Long exit:	

	if (Trailingstop_Trigger=true) and TrailingAmt > 0 then begin;

		if marketposition = 1 and trailing_value_long <> 0 and not spike_trigger then 

		  if (GetappInfo(aiStrategyAuto)=1)and trailing_value_long_ADE <> 0 and trailing_value_long_ADE > Trailing_value_long then begin

		   trailing_value_long = maxlist(Trailing_value_long_ADE,

		   iff(Trailing_value_long_ADE[1]=0,Trailing_value_long_ADE,trailing_value_long_ADE[1]));

		  end

		  Else begin

		   Trailing_value_long = maxlist(trailing_value_long,

		   iff(trailing_value_long[1]=0, trailing_value_long, trailing_value_long[1]));

		  end;

		  Sell ("TrailingStopLong") next bar Trailing_value_long stop;

	end;

// Short exit:

	If (Trailingstop_Trigger=true) and TrailingAmt > 0 then begin;

		if marketposition = -1 and trailing_value_short <> 0 and not spike_trigger then

		 If (GetappInfo(aiStrategyAuto)=1) and trailing_value_short_ADE <> 0 and Trailing_value_short_ADE < Trailing_value_Short then begin

		  trailing_value_short = minlist(Trailing_value_short_ADE,

		  iff(Trailing_value_short_ADE[1]=0,Trailing_value_short_ADE,trailing_value_short_ADE[1]));

		 end

		 Else begin 

		  Trailing_value_short = minlist(trailing_value_short,

		  iff(trailing_value_short[1]=0, trailing_value_short, trailing_value_short[1]));	

		 end;

		 BuytoCover ("TrailingStopShort") next bar Trailing_value_short stop;

	end;

End;

TJ · Postby TJ » 06 Nov 2012

I don't like threads that have an open end with no solution. In the meantime I managed to solve my own post. So here it goes.
...

Thanks for sharing. Much appreciated.

Holding trailingstop overnight

Holding trailingstop overnight

Re: Holding trailingstop overnight

Re: Holding trailingstop overnight

Re: Holding trailingstop overnight

Re: Holding trailingstop overnight