Latest News

March 25, 2017: New comments S&P500

BBS Trading Expert is available with the "BAND INDICATORS" DVD! Watch the Youtube BBS video and here is a crude oil trading example

BBS Band Break System trading Sylvain Vervoort

 

Want to know more about "Capturing Profit with Technical Analysis"?

NinjaTrader formulas.

MetaStock formulas.

MetaTrader formulas.

My YouTube videos.

Twice semi-finalist "Favorite Article" in the S&C 2015 Readers' Choice Award. Thank You!

AXIOM business books awards, bronze medal for my book! Thank You!

Capturing Profit with Technical Analysis

SEARCH Stocata
Book Store

Ttitle, author, item# or ISBN

Favorite articles in 2010, 11, 12, 14 and 2015 S&C Readers' Choice Awards.

readers choice awards

AXIOM Business Books Awards, bronze medal.

AXIOM award

 

   special offers

  Facebook fan page

 

 


 

MetaStock Formulas

HOME   Back to MetaStock Formulas Overview

SVE_stop_trail_ModATR

Looking into Wilder’s concept for the True Range – that is, the:

  1. Current high minus the current low.
  2. Absolute value of the current high minus the previous close.
  3. Absolute value of the current low minus the previous close.

There are some changes I would like to introduce to come up with a higher profit than if I were using the standard trailing ATR.

 

1) The current high minus the current low can be big in very volatile markets. To avoid the influence of extreme moves in a day, I will limit the extreme price change of a single bar to a maximum of one and a half times the ATR moving average of the high minus low prices.

2) The absolute value of the current high minus the previous close may be distorted by a large gap between the previous high and the current low. Since a gap does give support, I would like to limit the influence of the gap. This I do by taking into account just half the size of the gap.

3) The absolute value of the current low less the previous close may also be distorted by a (big) gap between the previous low and the current high. Let’s also limit that influence taking into account only half the size of the gap.

 

This is the basic formula switching on stop breaks:

SVE_Stop_Trail_ModATR

period:=Input("ATR period :",1,100,10);
atrfact:=Input("ATR multiplication :",1,10,3.5);
HiLo:=If(H-L<1.5*Mov(H-L,period,S),H-L, 1.5*Mov(H-L,period,S));
Href:=If(L<=Ref(H,-1),H-Ref(C,-1),(H-Ref(C,-1))-(L-Ref(H,-1))/2);
Lref:=If(H>=Ref(L,-1),Ref(C,-1)-L,(Ref(C,-1)-L)-(Ref(L,-1)-H)/2);
diff1:=Max(HiLo,Href);
diff2:=Max(diff1,Lref);
atrmod:=Wilders(diff2,period);
loss:=atrfact*atrmod;
trail:=
If(C>PREV AND Ref(C,-1)>PREV,
Max(PREV,C-loss),
If(C<PREV AND Ref(C,-1)<PREV,
Min(PREV,C+loss),
If(C>PREV,C-loss,C+loss)));
Trail

 

Special offer: "Capturing Profit with technical Analysis"
modified ATR trailing stop chart

Compare the trailing stop ATR and modified ATR with a 2.1 multiplication factor in this chart. The modified ATR trailing stop closes the position one day earlier with more profit.

 

Using your own trading method finding entry points you most probably would like to have this trailing stop available from your own entry date.

So, this is the MetaStock® formula  for a modified ATR trailing stop long position from a starting date. Please make sure that the date you select is an existing date in the data series.

SVE_StopLongMod_Trail_ATR_Date

{SVE_StopLongMod_Trail_ATR_Date}
InpMonth:=Input("Month",1,12,1);
InpDay:=Input("Day",1,31,1);
InpYear:=Input("Year",1800,2050,2009);
InitStop:=Input("Initial Stop Price",0.1,10000,10);
period:=Input("ATR period :",1,100,5);
atrfact:=Input("ATR multiplication :",1,10,3.5);
HiLo:=If(H-L<1.5*Mov(H-L,period,S),H-L, 1.5*Mov(H-L,period,S));
Href:=If(L<=Ref(H,-1),H-Ref(C,-1),(H-Ref(C,-1))-(L-Ref(H,-1))/2);
Lref:=If(H>=Ref(L,-1),Ref(C,-1)-L,(Ref(C,-1)-L)-(Ref(L,-1)-H)/2);
diff1:=Max(HiLo,Href);
diff2:=Max(diff1,Lref);
atrmod:=Wilders(diff2,period);
loss:=atrfact*atrmod;
Entry:= InpYear=Year() AND InpMonth=Month() AND InpDay=DayOfMonth();
StopLong:=ExtFml( "AdvancedStop.StopLong", Entry,InitStop,0,C-Loss,0,0,0,0);
StopLong

 

Search the Internet

And this is the MetaStock® formula  for an ATR modified trailing stop short position from a starting date. Please make sure that the date you select is an existing date in the data series.

SVE_StopShortMod_Trail_ATR_Date

{SVE_StopShortMod_Trail_ATR_Date}
InpMonth:=Input("Month",1,12,1);
InpDay:=Input("Day",1,31,1);
InpYear:=Input("Year",1800,2050,2009);
InitStop:=Input("Initial Stop Price",0.1,10000,10);
period:=Input("ATR period :",1,100,5);
atrfact:=Input("ATR multiplication :",1,10,3.5);
HiLo:=If(H-L<1.5*Mov(H-L,period,S),H-L, 1.5*Mov(H-L,period,S));
Href:=If(L<=Ref(H,-1),H-Ref(C,-1),(H-Ref(C,-1))-(L-Ref(H,-1))/2);
Lref:=If(H>=Ref(L,-1),Ref(C,-1)-L,(Ref(C,-1)-L)-(Ref(L,-1)-H)/2);
diff1:=Max(HiLo,Href);
diff2:=Max(diff1,Lref);
atrmod:=Wilders(diff2,period);
loss:=atrfact*atrmod;
Entry:= InpYear=Year() AND InpMonth=Month() AND InpDay=DayOfMonth();
StopShort:=ExtFml("AdvancedStop.StopShort",Entry,InitStop,0,C+Loss,0,0,0,0);
StopShort

Very cheap books

 

HOME   Back to MetaStock Formulas Overview


 
 
Copyright © 2007 Stocata.org, All rights reserved.