Trailing Stops

[countertrender]

You are invited to participate in an open-source experiment. Go to The Stop Loss - A Statistical Approach and view the theory, mathematics, and code for a new trailing stop. Translation into eSignal language is welcome. The paper was presented to the MTA, Chicago chapter at the recent meeting.

[Charthound]

Your paper

This is the most comprehensive paper I've read on the subject of the stop loss. It includes the code in mathematical formula, in pseudo-code, and in MetaStock formula language. I do not code in EFS language, but I certainly hope somebody in the forum will post the code. I'd like to try this stop loss in my trading, and I'm sure many other will want to as well. This is a major paper. That fact is evident, since it was the featured presentation for the quarterly MTA meeting.

[ckryza]

I coded a quick example of the "Project 304 Trailing Stop". Script uses a simple MA crossover to enter a trade and then plots the stop. You can adjust the R value as well as the MU periods. Script can be found in my Specialty Scripts File Share area here:

http://share.esignal.com/groupconten...us&groupid=114

Chris

[countertrender]

Project304 Trailing Stop

Chris,

Can't find that code on your page. What name did you give the indicator? BTW, that's quite an impressive site you have.

[ckryza]

Sorry. Script is called TrailerExperimentalStop.efs and it is in the Miscellaneous folder in the Specialty Scripts File Share group.

Chris

[countertrender]

Thanks Chris, I found it. Would you mind posting the code on my blog? It's an academic site and nothing is for sale. The idea is for the trading community to build this indicator together. It's an open-source experiment. So far, it's posted in MetaStock and TradeStation code.

[countertrender]

Ideas for trailer

I've received a number of emails on this indicator, so let me put forward some ideas to get things rolling:

One of the points of this trailer is that it's always in sync with a trade, because a trader enters the actual date-of-entry. It's set up on daily bars, but most of the eSignal particpants trade intraday. It seems this can be accomodated in at least two ways:

1.) Create a time-of-day entry function. (But for bars less than 10 minutes, this is probably too slow, so try idea #2

2.) Don't create a time-of-day entry function. Instead, code-in your favorite entry, so the trailer will snap to the chart at just the right points. (Chris posted a version that uses a moving average crossover as an entry. This might provide a ready template.)

Anybody that read David's paper knows that a lot of research went into this indicator. But we don't want to inhibit the creativity of those who participate. The idea is for a few traders to get together and build this thing in an open forum. Don't hesitate to post your ideas!

John

[Charthound]

Question for ckryza:

Chris, when plotting the trailer as you coded it, the following error pops up:

"Downloads\Trailer ExperimentalStop.efs line 207:
ReferenceError: efsInternal is not defined"

What am I doing wrong?

[ckryza]

The script requires eSignal 7.9 or newer to operate since "efsInternal" is a new EFS2 function so, if you are still running 7.8 or older go to the eSignal download page and download and install the latest version.

Chris

[Charthound]

Thanks Chris. Will do.

[countertrender]

Translation from Chris

Chris,

Do you have any objection to my posting your code on the official Project304 site? Or perhaps you'd prefer to do it yourself??? Let me know.

John

[ckryza]

Go ahead and post it... I have no problem with that.

Chris

[countertrender]

Thanks, Chris. And I'll include a link to your site.

[countertrender]

Just a reminder about the purpose of this thread:

You are invited to participate in an open-source experiment. Go to The Stop Loss - A Statistical Approach and download the paper in pdf. View the theory, mathematics, and code for a new trailing stop and a predictive statistical indicator. The paper was presented to the MTA, Chicago chapter at the recent meeting.

Our research group sends out a special thanks to Chris for translating the "Project304 Trailer" into eSignal. Next we need a translation for the "Project304 Bands". Ideas for new applications for the indicators are welcome.

John

[d_jonelis]

I just got back form a long trip. I would be happy to answer any questions about my paper.
Dave
P.s. Take a look at how the stoploss looks on a chart!
StopLoss picture