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SVE_Stop_Trail_ATR

ATR was developed by J. Welles Wilder and introduced in his book, “New concepts in technical trading systems” (1978). The Average True Range (ATR) indicator measures a security's volatility.

The basic ATR trailing stop trading method formula will switch from support to resistance and visa-versa when breaking support or resistance. For the ATR trailing stop method we calculate the maximum allowed loss based on the basic ATR function multiplied by a factor.

Additionally I am showing you the formula to use an ATR trailing stop from a start date for either a long or a short trade.

 

It is clear that the trailing stop based on ATR is a dynamic stop related to the higher or lower volatility in price action.

You can make the ATR trailing stop more or less sensitive by using different multiplication factors. Apply the ATR trailing stop at past data to find the best fitting value and apply this value for future data.

 

This is the basic formula switching on stop breaks:

SVE_Stop_Trail_ATR

atrper:=Input("ATR period :",1,100,5);
atrfact:=Input("ATR multiplication :",1,10,3.5);
loss:=atrfact*ATR(atrper);
trail:=
If(C>PREV AND Ref(C,-1)>PREV,
Max(PREV,C-loss),
If(C<PREV AND Ref(C,-1)<PREV,
Min(PREV,C+loss),
If(C>PREV,C-loss,C+loss)));
Trail

 

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Using your own trading method finding entry points you most probably would like to have this trailing stop available from your own entry date.

So, this is the MetaStock® formula  for an ATR trailing stop long position from a starting date. Please make sure that the date you select is an existing date in the data series.

SVE_StopLong_Trail_ATR_Date

{SVE_StopLong_Trail_ATR_Date - ATR trailing stop Long from date}
InpMonth:=Input("Month",1,12,1);
InpDay:=Input("Day",1,31,2);
InpYear:=Input("Year",1800,2050,2009);
InitStop:=Input("Initial Stop Price",0.1,10000,10);
atrper:=Input("ATR period :",1,100,5);
atrfact:=Input("ATR multiplication :",1,10,3.5);
loss:=atrfact*ATR(atrper);
EntryLong:= InpYear=Year() AND InpMonth=Month() AND InpDay=DayOfMonth();
EntryLock:=If(Ref(EntryLong,-1)=0 AND EntryLong=1,1,PREV);
support:=C-loss;
TrailStopLong:= If(EntryLock=0 OR EntryLong=1,InitStop,
If(support>Ref(Support,-1),Max(support,PREV),PREV));
TrailStopLong

 

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And this is the MetaStock® formula  for an ATR trailing stop short position from a starting date. Please make sure that the date you select is an existing date in the data series.

SVE_StopShort_Trail_ATR_Date

{SVE_StopShort_Trail_ATR_Date - ATR trailing stop Short from date}
InpMonth:=Input("Month",1,12,1);
InpDay:=Input("Day",1,31,2);
InpYear:=Input("Year",1800,2050,2009);
InitStop:=Input("Initial Stop Price",0.1,10000,10);
atrper:=Input("ATR period :",1,100,5);
atrfact:=Input("ATR multiplication :",1,10,3.5);
loss:=atrfact*ATR(atrper);
EntryLong:= InpYear=Year() AND InpMonth=Month() AND InpDay=DayOfMonth();
EntryLock:=If(Ref(EntryLong,-1)=0 AND EntryLong=1,1,PREV);
support:=C+loss;
TrailStopShort:= If(EntryLock=0 OR EntryLong=1,InitStop,
If(support>Ref(Support,-1),Min(support,PREV),PREV));
TrailStopShort

 

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