ATR stop and MM - Trading Software

ATR stop and MM

Bentley
2015-11-10 07:09:23

Hi there,
Does QS have what TradeStation name as ATR stop.

For e.g. - ATR Big Profit Stop (there's also other and combine together seem like a lethal ways for exit)
The average true range is calculated and multiplied by BigProfitATRs (Input) in order to determine the %u201CBig
Profit%u201D level. On the first bar of a position, the reserved word BarsSinceEntry will return zero. When this occurs,
the variable PosHL is set to the Close of the current bar. ---
ATRVal = AvgTrueRange(ATRLength) * BigProfitATRs;
If BarsSinceEntry = 0 Then
PosHL = Close;

As long as the market is in a Long position, there is a constant testing of PosHL compared to the current Close.
If the current Close is greater than PosHL, then PosHL is reset to the value of the new Close, maintaining the
highest Close value of the position in PosHL. The Long exit order is generated once the position has reached
ATRVal points above EntryPrice. If the price activity has reached this level, a Long exit order at the lowest Low
of the last ExitBarLen (Input) bars. ---
If MarketPosition = 1 Then Begin
If Close > PosHL Then
PosHL = Close;
If PosHL > EntryPrice + ATRVal Then
ExitLong Next Bar at Lowest(Low, ExitBarLen) Stop;
End;

Also, how to code
Buy Next Bar at High + 1 point ;
I can use the wizard to do it but was just wondering how to actually code it..
I did something like Buyprice(ref (high, -1)+1),10);

And since I'm asking, I saw the Simulation 1 trading system have both the AND and && syntax in one statement.
A bit confuse which one to use... +_+!!!

Thanks

QuantShare
2015-11-11 03:04:41

Hi,

You can use the average true range (ATR) as a trailing stop for example by adding this line:
SetSimStop(_StopTrailing, _Point, 2*atr(14), 0);

If you are looking for some customized things then you should implement a money management script using C# language.

For the buy price, yes you should use the "BuyPrice" function. But it works only when using a stop or limit order.

buy = roc(10) > 20;
SetSimTiming(_Buy, _Limit, 0);
Buyprice(ref (high, -1)+1),10);

The above formula means that when a stock 10-bar rate of return is above 20, buy it using a limit order and a limit price of "tomorrow high + 1".

ref (high, -1) references tomorrow's high
ref (high, 1) references yesterday's high

Finally, you can use either AND or &&. They are the same.

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