ATR based Profit Stop

[dilmun99]

Hi guys. I've been wanting to test various profit stops. The SetProfitStop function in TS only takes a constant entry (e.g. 5, for 5%). I want to model ATR based profit stops. I've been trying to use LastValue to change a variable entry into a constant, as in

ProfTgt:=LastValue(5*100*(ATR(20)/Mov(C,20,S)));
..........
ExtFml("TradeSim.SetProfitStop",ProfTgt);

This doesn't seem to work - when I look at the trades, every profitable entry is a Profit Stop, and the results barely change if I change the ATR multiple. I'm not sure whether this is an occasion when ValueWhen doesn't work, or whether you just can't do this in TS.

Any ideas?
Thanks
Andrew

[Jose]

If by "profit stop" you mean a profit target, then it is basically an EntryPrice+Profit reference. It's best to use the Valuewhen() function for this purpose.

Here is an example:


{ System signals }
In:=Fml("001 system buy signals");
Out:=Fml("002 system sell signals");

{ User inputs }
multi:=Input("ATR multiplier",0,10,2);
pds:=Input("ATR periods",1,252,10);
delay:=Input("Entry and Exit delay",0,5,0);
plot:=Input("[1]ProfitExit, [2]ProfitStop",
1,2,1);

{ Clean signals }
Init:=Cum(In+Out>-1)=1;
flag:=BarsSince(Init OR In)
<BarsSince&#40;Init OR Out&#41;+&#40;Cum&#40;In&#41;=1&#41;;

&#123; Reference EntryPrice &#125;
entry&#58;=flag AND Alert&#40;flag=0,2&#41;;
profitStop&#58;=
ValueWhen&#40;1,entry,C+Mov&#40;ATR&#40;1&#41;,pds,E&#41;*multi&#41;;
profitExit&#58;=Cross&#40;C,profitStop&#41;;

&#123; Plot ProfitExit in own window &#125;
&#123; Plot ProfitStop on price chart &#125;
If&#40;plot=1,profitExit,profitStop&#41;


jose '-)

[dilmun99]

Thanks Jose

But what I'm hoping for is something where I can do this easily in TradeSim so I can minimize duplication (I have long and short positions in this system). In general (and maybe misguidedly) I try to have my base entries in a MS indicator and my stops and exits in TradeSim code in an Exploration. It seems to me that I should be able to do this using the SetProfitStop formula from TS, and simply use one line of additional code to change the variable data array into a constant (hence my suggested code). But it doesn't seem to be working. I'm not sure whether this is a MS code issue or a quirk of TS.

Regards
Andrew

[dilmun99]

Hi

Is this a David question? It's simply whether there is a way to work around the SetProfitStop limitation of only accepting variable entry. Normally I use ValueWhen to do that kind of task for other MS functions. Does that not work in this case?

Thanks
Andrew