Percent Trailing Stop Problem

Questions about MultiCharts and user contributed studies.
elaskaris
Posts: 17
Joined: 31 Mar 2008

Percent Trailing Stop Problem

Postby elaskaris » 26 Jul 2008

I cannot seem to figure out how Multicharts calculates the percent trailing stop. Please help me understand where I'm going wrong.

When I set the % trailing stop to 40%, it has been executing at anywhere from 47-66%. I can't seem to figure out how/when it decides to execute the stop.


For Example:

Setstopcontract;
setpercenttrailing(5,30);

The Stop will be activated after you achieve a profit of 5 per contract. After this any drop of 30% from the maxcontractprofit will result in a % TrailingStop being triggered.

The acutal executions are 7-26% away from the desired setting.

Hypothetical Example:
EntryPrice= 10
MaxContractProfit=5

Using a 30% trailing stop with a profit trigger of 5 (as above):

5 * 0.3 (or the MaxContractprofit*30% drop}= 1.5

15-1.5 (or the (Entryprice+ Maxcontractprofit)- (30% drop in profit))= 13.5

It stands to reason that a price drop below 13.5 would trigger the stoploss. However I find that Multicharts always executes the stop lower than this by several points.

Any ideas why? Am I calculating this wrong? Are the trailing stops bugged?

brodnicki steven
Posts: 407
Joined: 01 Jan 2008
Been thanked: 3 times

Postby brodnicki steven » 28 Jul 2008

This is how it is explained in the MC help section-

"For example, if the specified profit is $100 and the specified percentage is 50, and the profit has reached the maximum of $120, the position will be closed once the profit falls back to $60. "

elaskaris
Posts: 17
Joined: 31 Mar 2008

Postby elaskaris » 28 Jul 2008

With the help of Sergee at the helpdesk, the best guess is that the Symbol settings are off.

Any idea where I can find Big Point Value, Min movement and Price scale data for ETFs? I use ESignal. No mention of this anywhere on their site or knowledgebase.

SUPER
Posts: 622
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Postby SUPER » 28 Jul 2008

Have a look at interactive brokers site for informaiton you are looking for.

http://individuals.interactivebrokers.c ... entity=llc

elaskaris
Posts: 17
Joined: 31 Mar 2008

Postby elaskaris » 28 Jul 2008

Thanks a ton Super! Really appreciate your help.

elaskaris
Posts: 17
Joined: 31 Mar 2008

Postby elaskaris » 28 Jul 2008

Once I corrected the "Min Movement" in the symbol settings form the default of 125 to 1, all the stops are now calculating correctly. Of course my strategy needs readjustment, but at least now everything is being calculated accurately.


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