Volatility Stop Loss /need code from Metasa to Amibroker/

szachool

szachool

New Member
#1
#1
Hi

There is quite good Volatility Stop Loss based on Average True Range (ATR). It depends on ATR, some kind of multipiler.
It is written in the code for Metastock, and I am looking someone, who would like to translate 3 short codes below. I thinkt that it may be very usefull for us.

Source page

This is the basic formula switching on stop breaks:
SVE_Stop_Trail_ATR

atrper:=Input("ATR period :",1,100,5);
atrfact:=Input("ATR multiplication :",1,10,3.5);
loss:=atrfact*ATR(atrper);
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
Click to expand...
Stop Long
SVE_StopLong_Trail_ATR_Date

{SVE_StopLong_Trail_ATR_Date - ATR trailing stop Long from date}
InpMonth:=Input("Month",1,12,1);
InpDay:=Input("Day",1,31,2);
InpYear:=Input("Year",1800,2050,2009);
InitStop:=Input("Initial Stop Price",0.1,10000,10);
atrper:=Input("ATR period :",1,100,5);
atrfact:=Input("ATR multiplication :",1,10,3.5);
loss:=atrfact*ATR(atrper);
EntryLong:= InpYear=Year() AND InpMonth=Month() AND InpDay=DayOfMonth();
EntryLock:=If(Ref(EntryLong,-1)=0 AND EntryLong=1,1,PREV);
support:=C-loss;
TrailStopLong:= If(EntryLock=0 OR EntryLong=1,InitStop,
If(support>Ref(Support,-1),Max(support,PREV),PREV));
TrailStopLong
Click to expand...

Stop Short
SVE_StopShort_Trail_ATR_Date

{SVE_StopShort_Trail_ATR_Date - ATR trailing stop Short from date}
InpMonth:=Input("Month",1,12,1);
InpDay:=Input("Day",1,31,2);
InpYear:=Input("Year",1800,2050,2009);
InitStop:=Input("Initial Stop Price",0.1,10000,10);
atrper:=Input("ATR period :",1,100,5);
atrfact:=Input("ATR multiplication :",1,10,3.5);
loss:=atrfact*ATR(atrper);
EntryLong:= InpYear=Year() AND InpMonth=Month() AND InpDay=DayOfMonth();
EntryLock:=If(Ref(EntryLong,-1)=0 AND EntryLong=1,1,PREV);
support:=C+loss;
TrailStopShort:= If(EntryLock=0 OR EntryLong=1,InitStop,
If(support>Ref(Support,-1),Min(support,PREV),PREV));
TrailStopShort
Click to expand...
And this Volatility Stop can also be usefull for programmers.
Source page


Thanks, for any help.
 
T

tools&tradingideas

Active Member
#2
#2
hi, this is what I get:

// from Metastock formula, link: http://stocata.org/metastock/stop_trail_atr.html
per = Param("per",20, 5, 150, 1);
mult = Param("mult",2, 1, 4, 0.05);
tr = mult * ATR(per);

trailArray[ 0 ] = C[ 0 ]; // initialize
for( i = 1; i < BarCount; i++ )
{
prev = trailArray[ i - 1 ];

if (C[ i ] > prev AND C[ i - 1 ] > prev)
{
trailArray[ i ] = Max(prev,C[ i ] - tr[ i ]);
}
else if (C[ i ] < prev AND C[ i - 1 ] < prev)
{
trailArray[ i ] = Min(prev,C[ i ] + tr[ i ]);
}
else if (C[ i ] > prev)
{
trailArray[ i ] = C[ i ] - tr[ i ];
}
else
{
trailArray[ i ] = C[ i ] + tr[ i ];
}
}
trailArray = Ref(trailArray,-1);

SetChartBkColor( ParamColor("ColorBG", ColorRGB( 0, 0, 0 ) ) );
GraphXSpace = 5;
SetChartOptions(0, chartShowDates);
Plot(trailArray,"\ntrailArray",ParamColor("ColorTrail",ColorRGB(255,255,255)),styleStaircase);
Plot( C, "\nCandle",colorWhite, styleCandle );
 
T

tools&tradingideas

Active Member
#3
#3
put in a function and added some colours:

// from Metastock formula, link: http://stocata.org/metastock/stop_trail_atr.html

function vstop_func(tr)
{
trailArray[ 0 ] = C[ 0 ]; // initialize
for( i = 1; i < BarCount; i++ )
{
prev = trailArray[ i - 1 ];

if (C[ i ] > prev AND C[ i - 1 ] > prev)
{
trailArray[ i ] = Max(prev,C[ i ] - tr[ i ]);
}
else if (C[ i ] < prev AND C[ i - 1 ] < prev)
{
trailArray[ i ] = Min(prev,C[ i ] + tr[ i ]);
}
else if (C[ i ] > prev)
{
trailArray[ i ] = C[ i ] - tr[ i ];
}
else
{
trailArray[ i ] = C[ i ] + tr[ i ];
}
}
return trailArray;
}

per = Param("per",20, 5, 150, 1);
mult = Param("mult",2, 1, 4, 0.05);
tr = mult * ATR(per);
trailArray = vstop_func(tr);
//trailArray = Ref(trailArray,-1);

SetChartBkColor( ParamColor("ColorBG", ColorRGB( 0, 0, 0 ) ) );
GraphXSpace = 5;
SetChartOptions(0, chartShowDates);
Plot(IIf(trailArray > C,trailArray,Null),"\ntrailShort",ParamColor("ColorTrailShort",ColorRGB(255,0,0)),styleStaircase);
Plot(IIf(trailArray < C,trailArray,Null),"\ntrailLong",ParamColor("ColorTrailLong",ColorRGB(0,255,0)),styleStaircase);
Plot( C, "\nCandle",colorWhite, styleCandle );
 
Last edited:
C

cbosein

Active Member
#8
#8
Hi Tools&tradingideas,

Good & decent chart
Thanks & regards
keerthi

tools&tradingideas said:
put in a function and added some colours:

// from Metastock formula, link: http://stocata.org/metastock/stop_trail_atr.html

function vstop_func(tr)
{
trailArray[ 0 ] = C[ 0 ]; // initialize
for( i = 1; i < BarCount; i++ )
{
prev = trailArray[ i - 1 ];

if (C[ i ] > prev AND C[ i - 1 ] > prev)
{
trailArray[ i ] = Max(prev,C[ i ] - tr[ i ]);
}
else if (C[ i ] < prev AND C[ i - 1 ] < prev)
{
trailArray[ i ] = Min(prev,C[ i ] + tr[ i ]);
}
else if (C[ i ] > prev)
{
trailArray[ i ] = C[ i ] - tr[ i ];
}
else
{
trailArray[ i ] = C[ i ] + tr[ i ];
}
}
return trailArray;
}

per = Param("per",20, 5, 150, 1);
mult = Param("mult",2, 1, 4, 0.05);
tr = mult * ATR(per);
trailArray = vstop_func(tr);
//trailArray = Ref(trailArray,-1);

SetChartBkColor( ParamColor("ColorBG", ColorRGB( 0, 0, 0 ) ) );
GraphXSpace = 5;
SetChartOptions(0, chartShowDates);
Plot(IIf(trailArray > C,trailArray,Null),"\ntrailShort",ParamColor("ColorTrailShort",ColorRGB(255,0,0)),styleStaircase);
Plot(IIf(trailArray < C,trailArray,Null),"\ntrailLong",ParamColor("ColorTrailLong",ColorRGB(0,255,0)),styleStaircase);
Plot( C, "\nCandle",colorWhite, styleCandle );
Click to expand...
 
R

rpc

Active Member
#9
#9
@Ayurveda
add follo 3 lines at the end of code

Buy = Cross(C,trailarray);
Sell = Cross(trailarray,C);
PlotShapes(Buy*shapeUpTriangle+Sell*shapeDownTriangle,IIf(Buy,colorBlue,colorYellow),0,IIf(Buy,L,H));
 
H

huss1652

New Member
#10
#10
Great formula guys. I tried this with a dual moving average crossover system and I have an issue. The trailing stop at some points is above a buy position. Is anyone good enough to add to this code stating if a buy is generated to reset the stop below the buy signal?
 
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