ATR Trailing Stop

Research
1

Guys:

A newbie here. I looked, pretty hard I thought, but couldn’t find exactly what I was looking for.

Would a simple fixed stop loss based upon 3 ATR from the buy point look like this:

Gain<-3*ATR(14,0)

Assuming a 14 day ATR, of course.

Thanks for the site!

Doug

2

Doug:

Hi and welcome.  Perhaps what  you want is GainPct < -3*ATRN(14,0)  or  GainPct < -3*ATRN(14,NoBars).

--Bill
3

Thanks for the reply!

Just a question, though: How would percent factor in to the equation? I normally use ATR based stops as a way to get around using percents in favor of the characteristics of a that particular stock’s price movement.

Also, do you have any idea what my original formula means (Gain<-3*ATR(14,0) ? Because:

a) look at the data, it’s seems that it’s not what I thought is was (fixed stop based on buy price)

b) whatever it is, it’s helping my results in at least one sim.

Gracias,

Doug

4

On a similar note, I was recently wondering how to set up a trailing stop similar to PctFromHi, except based on ATR instead of percentage.

Grant

5

Doug, Grant and All:

Gain is the "Return of an existing position in dollars."  My understanding of this is that if you have an intial postion of 10k and a 10% return on that position then Gain = 1000. 

For a trailing ATR stop from the high close based on 2.5 ATR's and 20 bars with no offset try: PctFromHi < -2.5*ATRN(20,0).

-- Bill
6

For a trailing ATR stop from the high close based on 2.5 ATR’s and 20 bars with no offset try: PctFromHi < -2.5*ATRN(20,0).<<

Oh, yeah, I guess that will work. Not exactly the same as what I was setting out to do, but close enough. Thanks!

Grant

7

Just reviving an old thread. The solution from Bill is not what I am looking for.

What I want to do is -

Close(0) < highval(25,0,#close-2.0*atr(10,0)), but this gives an error?

Any ideas from the experts here?

Thanks

8

Hi Gary,

try:

Close(0) < (highval(25,0,#close)-2.0*atr(10,0))

hth,
Florian

9

Thanks Florian