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SVEATRTrailingStop

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.

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.

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This is the basic NinjaScript formula switching on stop breaks:

SVEATRTrailingStop

#region Using declarations
using System;
using System.ComponentModel;
using System.Diagnostics;
using System.Drawing;
using System.Drawing.Drawing2D;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Data;
using NinjaTrader.Gui.Chart;
#endregion

// This namespace holds all indicators and is required. Do not change it.
namespace NinjaTrader.Indicator
{
    /// <summary>
    ///
    /// </summary>
    [Description("Sylvain Vervoort Stocata.org Average True Range Trailing Stop")]
    public class SVEATRTrailingStop : Indicator
    {
        #region Variables
           private int     period     = 5;
           private double  multi = 3.5;
          
           Double     trail, loss;
        #endregion

        /// <summary>
        /// This method is used to configure the indicator and is called once before any bar data is loaded.
        /// </summary>
        protected override void Initialize()
        {
            Add(new Plot(Color.Blue, PlotStyle.Line, "Trailing Stop"));
            CalculateOnBarClose  = true;
            Overlay                   = true;
        }

        /// <summary>
        /// Called on each bar update event (incoming tick)
        /// </summary>
        protected override void OnBarUpdate()
        {
                if (CurrentBar < 1)
                      return;

                // Trailing stop
                loss = ATR(Input, Period)[0] * multi;
               
                if (Close[0] > Value[1] && Close[1] > Value[1])
                      trail = Math.Max(Value[1], Close[0] - loss);
               
                else if (Close[0] < Value[1] && Close[1] < Value[1])
                      trail = Math.Min(Value[1], Close[0] + loss);
                     
                else if (Close[0] > Value[1]) trail = Close[0] - loss;
               
                else trail = Close[0] + loss;

            Value.Set(trail);
        }
          
        #region Properties
        [Description("ATR period")]
        [Category("Parameters")]
           [Gui.Design.DisplayName("1. ATR Period")]
        public int Period
        {
            get { return period; }
            set { period = Math.Max(1, value); }
        }
          
           [Description("ATR multiplication Factor")]
        [Category("Parameters")]
           [Gui.Design.DisplayName("2. ATR Multiplication Factor")]
        public double Multi
        {
            get { return multi; }
            set { multi = Math.Max(0, value); }
        }
        #endregion
    }
}

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