DALE !! SYSTEM MANAGEMENT (CONSTRUCTING A TEMPLATE FOR) ! Author: Giorgos E. Siligardos, TASC Aug 2007 ! Coded by: Richard Denning 5/10/07 ! The article deals with a barrier trailing stop (SB) which ! will be coded and tested below. !Formula for the trailing stop barrier (SB): ! SB = P - (( PT - P) / minDRR ) ! P is the current price of the security as of today ! PT is the profit target ! minDRR is the minimum dynamic reward/risk set by the trader ! the author suggests setting the minDRR to 3.00 ! TEST OF STOP USING CHANNEL BREAKOUT ON ETFs ! System rules: ! Enter a long on the first breakout from a 30 day channel ! Use a 60 day rate of change, descending, to select signals ! Set profit target to 8 ATRs, initial stop loss at 2.0 ATRs ! Set a trailing stop at the highest mid channel since ! the position was opened (MCT) ! Compare the MCT to the SB type trailing stop ! Reverse the rules for a short position ! ABBREVIATIONS: C is [close]. C1 is valresult(C,1). L is [low]. H is [high]. PEP is {position entry price}. PD is {position days}. ! AVERAGE TRUE RANGE TR is max(H-L,max(abs(H-C1),abs(L-C1))). ATR is simpleavg(TR,60). ! BARRIER TRAILING STOP ! Set minimum risk to reward minDRR is 2.0. ! Set initial stop loss and trailing amount in ATRs noATRs is 2.0. ! FOR LONG POSITIONS PT is PEP + 8 * ATR. SB is C - ((PT- C) / minDRR). SB1 is valresult(SB,1). ! FOR SHORT POSITIONS SPT is PEP - noATRs * minDRR * ATR. SSB is C + ((C - SPT) / minDRR). SSB1 is valresult(SSB,1). ! CHANNELS TopChan is highresult(H,30). TopChan1 is valresult(TopChan,1). BotChan is lowresult(L,30). BotChan1 is valresult(BotChan,1). ! Mid channel for long trailing stops MidChan is TopChan - (TopChan - Botchan) / 2. MidChan1 is valresult(MidChan,1). ! Mid channel for short trailing stops MidChanS is BotChan + (TopChan - Botchan) / 2. MidChanS1 is valresult(MidChan,1). ! ENTRY RULES ! Long entry rule LE if C > TopChan1 and countof(C > TopChan1,29,1) = 0 . ! Short entry rule SE if C < BotChan1 and countof(C < Botchan1,29,1) = 0 . ! EXIT RULES ! Initial stop loss for longs LLX is PEP - noATRs * ATR. ! For long positions ! Initial stop loss for shorts LSX is PEP + noATRs * ATR. ! For short positions ! Mid-Channel trailing stop ! For longs MidChLX is highresult(MidChan,PD) . ! For shorts MidChSX is lowresult(MidChanS,PD) . ! Trailing stop using auhor's SB concept with ! MidChLX For longs TrailLXmidSB is max(SB1,MidChLX). ! MidChSX for shorts TrailSXmidSB is min(SSB1,MidChSX). ! Combo exit to use as benchmark using MidChLX/SX ! For longs LXmid if C >= PT or C <= LLX or C <= MidChLX. ! For shorts SXmid if C <= SPT or C >= LSX or C >= MidChSX. ! Combo exit that includes SB trailing stop ! with mid channel for longs LXmidSB if C >= PT or C <= LLX or C <= TrailLXmidSB. ! with mid channel for shorts SXbotSB if C <= SPT or C >= LSX or C >= TrailSXmidSB. ! Signal selection - 60 day rate of change percent RC60 is (C / valresult(C,60) - 1) * 100. List if 1. HD is hasdatafor(3000). Name is description(). ED if HD >= 1275. ! PROFIT TARGET FOR PLOTTING-FIND LAST SIGNAL LEos is scanany(LE,255) then OffSetToDate(month(),day(),year()). PTplot is val([open],^LEos-1) + 8 * ATR. SBplot is valresult((C - ((PTplot- C) / minDRR)),1). 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