[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Trailing Stop (was: Re: Strategy)



PureBytes Links

Trading Reference Links

Hi All,

Is there a bug or setting that would prevent a
trailing stop order in TS2000i from updating
correctly?  Value of the stop updates correctly within
an indicator and when checked by a print statement in
the signal, but the value in the order seems to stick.

For example, the order

   ExitLong ("StopAtr") Next Bar at (StopAtr) or
Lower;

(intending to sell all shares/contracts at
price=StopAtr Stop) produced the following results
when I stepped through the data (I changed the end
date in Format-Symbol). Shown in table below is the
date, value of variable "StopAtr" (using a Print
statement in the signal), and the Tracking Center
results:

Date       StopAtr   Tracking Center Active Order
10/02/2003 14.39     Sell 100 at 13.75 Stop
10/03/2003 15.05     Sell 100 at 15.00 Stop
10/06/2003 15.12     Sell 100 at 15.00 Stop
10/07/2003 15.73     Sell 100 at 15.00 Stop
10/08/2003 15.96     Sell 100 at 15.00 Stop
10/09/2003 15.99     Sell 100 at 15.00 Stop
10/10/2003 16.21     Sell 100 at 15.00 Stop
10/13/2003 16.31     Sell 100 at 16.25 Stop
10/14/2003 16.55     Sell 100 at 16.25 Stop
10/15/2003 16.55     Sell 100 at 16.25 Stop
10/16/2003 16.55     Sell 100 at 16.25 Stop
10/17/2003 14.9482   (blank)

On 10/17/2003 the stop was triggered: Tracking Center
Open Positions is blank -- but Tracking Center Filled
Orders is blank also.(!)   Stop order appears to have
filled at the close at 16.23 (from mark on the chart).

The results from the stop order

   ExitLong ("StopAtr") Next Bar at (StopAtr) or
Lower;

appears to be unreliable, so I changed order to 

   If StopAtr > C Then 
      ExitLong ("Exit") Next Bar at Market;

(intending to Sell all shares/contracts at the market
on tomorrow's open if today's close is less than
price=StopAtr) as this type of order seems to operate
reliably when compared to the indicator and the print
statements from the signal.  However, having been
burned on the stop order, I'm not sure I can trust the
market order... (sigh!)

I'm using UA CSI-format data (EOD in 3rd-party
directory on TS2000i version 5.00.0822).

Thanks!  

-b