SmartQuant Discussion

Adaptive Trailing stop ???
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Author:  Gary99 [ Sun Apr 15, 2007 8:24 pm ]
Post subject:  Adaptive Trailing stop ???

I've read that sometimes the missing component in trailing stops is consideration of the stock's volatility. If the stock swings a lot but generally advances, a too-tight trailing stop will exit too soon. I've read about an "adaptive" trailing stop which somehow considers the stock's volatility as part of the trailing stop computation. Any ideas? I’ve not been able to find an algorithm to try to code to consider adaptive trailing stop. Also what is a good measure of the stock’s volatility?

Thanks for your help.

Author:  Dr. Anton Fokin [ Sun Apr 15, 2007 8:34 pm ]
Post subject: 

usually people use TR (True Range) or ATR (Average True Range) indicators as volatility measure.

You can implement any kind of custom stops right in the strategy code in OnBar or OnTrade methods, for example

OnBar(Bar bar)
if (ATR[bar] > VolatilityLimit)
close position


Author:  NStrader [ Mon Apr 16, 2007 12:51 am ]
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Look up Chuck Le Beau's Chandelier Exit...

Author:  extesy [ Mon Apr 16, 2007 4:28 am ]
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eAscTrend system has good adaptive trailing stops.

Author:  NStrader [ Sun Apr 29, 2007 11:54 am ]
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Author:  NStrader [ Sun Apr 29, 2007 10:51 pm ]
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Actually, this fits in with what I want to do...give me one or two weeks (busy time at work) and I should have a chandelier stop to share.

Also, I use QD. I don't know how this would fit in with OQ - would OQ users need a .dll or can they compile QD C# code - Anton?

Does OQ use VS2005 pro?

Author:  MarkNijhof [ Mon Apr 30, 2007 5:19 am ]
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Hi NSTrader,

I have been reading those links and they look very interesting, once you have your Chandelier stop ready I would love a copy of the code for use in QD.



Author:  NStrader [ Mon Apr 30, 2007 9:10 pm ]
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Yeah, no probs....

Author:  NStrader [ Fri Jun 22, 2007 8:52 pm ]
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My apologies, but my car was in an argument with a train on a level crossing. I was in the car at the time. My programming projects have therefore been postponed - at least for the next few weeks! Chandelier stop is still top of my list though... just concussion makes life interesting!

Author:  MarkNijhof [ Sat Jun 23, 2007 2:08 am ]
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No apologies are needed, just be happy that you can still apologies.

Good luck.


Author:  breathe [ Tue Apr 22, 2008 9:50 pm ]
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Out of curiousity, how does this work functionally? Is a trailing stop created and sent to a broker and then amended as needed, or does OQ monitor the market and then send the trailing stop order when it is marketable?

Author:  newDave [ Mon Jul 18, 2011 12:04 pm ]
Post subject:  Re: Adaptive Trailing stop ???

So, finally, has anybody implemented Chandelier Exit ? Is it possible to share ?

Author:  newDave [ Mon Jul 25, 2011 4:00 pm ]
Post subject:  Re: Adaptive Trailing stop ???

So.. I've implemented it myself. But result is a bit disappointing.
It does not improve performance of my intraday trend following strategy(aprox. 1 trade per hour) considerably. Has anybody got better results ??

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