SmartQuant Discussion

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.

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
}

Regards,
Anton

Look up Chuck Le Beau's Chandelier Exit...

eAscTrend system has good adaptive trailing stops.

Try:
http://www.incrediblecharts.com/forums/messages/12/408999.html
http://www.trading-plan.com/money_stoploss_volatility.html
http://www.tradernexus.com/advancedstop/advancedstop.html

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?

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.

Cheers,

-Mark

Yeah, no probs....

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!

No apologies are needed, just be happy that you can still apologies.

Good luck.

-Mark

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?

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

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 ??