This is the updated code (thanks to people who have helped with this so
far) if anyone else in the community is interested. I just tried
backtesting GBPJPY daily data with this and it does what I wanted (triggers a
buy/sell order when a two bar high/low is created on next bar if it
breaks). I'm only working with historic data to help my edge when manual
trading.
If anyone can run this on intraday let me know (very new to
this) or if the trailing two bar stop can be made to be initially under the
bar before the entry bar and only trail when a higher high is created (if long
of course and the opposite when short).
Any interesting ways of
trailing stop are of interest to me so would be cool to see people play with
this.
best
AH
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/* two bar high/low
backtest. trade entered when 1 pip higher than tbh or 1 pip lower than
two bar low. stop is trailed two bars behind extreme
*/
AbsHighDiff = abs(H - Ref(H,
-1));
AbsLowDiff = abs(L - Ref(L, -1));
tbh = AbsHighDiff
< 0.02; // max. 2 pips difference
tbl = AbsLowDiff < 0.02; //
max. 2 pips difference
PositionSize = -33;
tbhyesterday = Ref(
tbh, -1 ); // new array - tbh shifted forward 1 bar
tblyesterday = Ref(
tbl, -1 ); // new array - tbl shifted forward 1 bar
HigherHigh =
High > Ref( High, -1 );
LowerLow = Low < Ref( Low, -1
);
Buy = tbhyesterday AND HigherHigh;
BuyPrice = Ref ( High, -1
);
Sell = L < Ref(LLV(L,2),-1);
SellPrice =
Ref(LLV(L,2),-1);
Short = tblyesterday AND
LowerLow;
ShortPrice = Ref ( Low, -1 );
Cover = H > Ref(
High, -2 );
CoverPrice = Ref ( High, -2
);
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