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X-Ufrom: omega-list-request@xxxxxxxxxx Wed Aug 6 12:29:39 2003
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Resent-Date: Wed, 6 Aug 2003 12:21:13 -0700
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From: Navtej S. Nandra (RR) <nnandra@xxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Subject: Tightening Trailing Stops Qs.
Date: Wed, 6 Aug 2003 15:21:02 -0400
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Navtej S. Nandra (RR) asked: <nnandra@xxxxxxxxxx>
>I wonder if anyone has tried writing code for tightening stops as a profit
>target is approached in TradeStation and can share same? Any direction /
>suggestion would be appreciated.
You can try using a Parabolic as a stop. There's a function and an
indicator built into TS. It starts out wide and gets tighter. I've
never used it myself but I find it makes a decent trend indicator if
you set the parameter properly.
The way I tighten my stops is to base them on a measurement of
market noise (crudely, a multiple of average true range will work
for this). The stops will automatically get tighter when market
volatility (noise) decreases, and you simply maintain this tightness
until stopped out. In this way your tightening stop adapts to the
market. You can further tighten by decreasing the multiplier in
stages.
-Alex
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