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Hello,
> - When the current bar's price isn't driving the stop higher (for longs),
> the stop should rise by itself, at y% per bar, somewhat like SAR stops. The
> idea is to avoid sitting in a trading range that isn't making any profit or
> hitting stops.
> This is quite doable in an AFL loop; I have it coded, and use it in other
> situations. However, it needs to know when and at what price it entered,
> which isn't known when our code runs in rotational mode.
>
> - My understanding is that dynamic stop settings (like ATR multiples or
> other variable calculations) aren't supported in rotational mode. When I set
> the 'volatile' parameter to true in rotational mode, I get this error:
> "Variable stops are not supported in Rotational Trading mode".
>
Yes the stop that varies the "amount" from bar to bar is not supported in rotational mode.
Apparently you case is destined for "manual" implementation (i.e. Osaka)
But is it worth it?
What I can tell you is that in my opinion you would not get any better result
with trailing stop that additionally rises by itself comparing to plain trailing stop.
Generally the more tight stop - the worse net profit is.
Why ? It's plain simple: stops reduce risk if you reduce risk you also reduce profits.
Max loss / trailing stops are good if your system generates great profits but has unacceptable
drawdown. Then stops can be used to improve system by lowering drawdowns
(profit will go down too but profit/drawdown ratio may improve)
So just backtest your system using rotational mode and regular trailing stop.
If it does not generate decent profit then it is not worth to bother at all.
Only when it generates great profits and you want just to improve drawdowns it is worth
to consider tighter stop.
Best regards,
Tomasz Janeczko
amibroker.com
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