Trailing stop

[Manuel17]

Hi,

I set up a strategy with a trailing stop. However, when I test it on historical data I have strange results: it seems that the stop is triggered without any reason, sometime exiting an entry I soon as it entered it. Have you already faced the same issue?

Thanks

My code:

protected override void Initialize()
{
SetTrailStop("Buy", CalculationMode.Percent, StopLoss, true);
CalculateOnBarClose = true;
}

[NinjaTrader_Bertrand]

Manuel, what have you set StopLoss (the percentage) to please in this scenario?

[Manuel17]

Hello Bertrand, thank you for your reply. It is a double variable that I tested at 0.045.

[NinjaTrader_Bertrand]

I would suggest to test with a wider value then, as otherwise it might trail already on the entry bar for you.

[Manuel17]

But 0.045 represents a loss of 4.5 % if I understand correctly? As you can see on the printscreen, the stop loss is sometimes triggered the same day on the entry price.

[NinjaTrader_Bertrand]

Yes, correct - which chart are you testing on here?

[Manuel17]

I tested all the stocks on the S&P500. This printscreen is for the results of Xerox Corp from 2000 up to today.

Thanks for your help!

[NinjaTrader_Bertrand]

Ok, but what interval you're working? Is that a daily chart series or intraday?

[Manuel17]

I tested on a daily chart

[NinjaTrader_Bertrand]

Thanks. Can't seem to reproduce that here on my end, same for you if you'd tested with default qty of let's say 100 shares in your script?

[Manuel17]

I tried with an account of 10 000. I will try with default quantity or 100 shares. What would be the difference?
I saw on other threads that people had an update issue with the trailing stop on backtesting. Do you think that it might be the same problem?

[NinjaTrader_Bertrand]

I don't think so - must are running into an expected outcome when it start trailing with the entry bar already, for example for your chart, run with 0.11 as input - that should remove some if not all of the same bar exits.

[Manuel17]

Thanks Bertrand. I tested it and it is true that it works with a trailing stop at 11%. But it is too low for me, why is it not possible to use a trailing stop at 4.5%

I tried with Default Quantity and 100 shares but it does not work neither at 4.5%.

[NinjaTrader_Bertrand]

It would unfortunately not work as you expect with your lower figure as the trail would then be activated too early for your scenario on the entry bar, since your trail closely. You could workaround potentially by custom coding the trailing aspect to kick in later once the trade progresses.

http://www.ninjatrader.com/support/forum/showthread.php?t=3222