cTrader Trailing Stop Loss Issue, Is there a better one?

debongos

I took this coding from the free cTrader Algo's and added it to my Breakout Algo. In test it works very well with no errors with the log stating Modifying position SUCCEEDED on every trade.

However, when I go live I immediately receive this recurring message -

Your request to modify position failed with error "New SL for SELL position should be >= current ASK

//trailling stop
                if (position.GrossProfit <= 0)
                    continue;

                if (position.TradeType == TradeType.Sell)
                {
                    double profit1 = position.GrossProfit + position.Commissions - StopLoss * 10 * position.VolumeInUnits / 100000.0;

                    if (profit1 > 0.0 && position.TradeType == TradeType.Sell)
                    {
                        double? stopLossPrice = Symbol.Bid + StopLoss * Symbol.PipSize;
                        if (StopLoss != 0 && stopLossPrice < position.StopLoss && stopLossPrice < position.EntryPrice)
                        {
                            if (stopLossPrice - Symbol.Bid > 0)
                            {
                                ModifyPosition(position, stopLossPrice, position.TakeProfit);
                            }
                        }
                    }
                }
                else
                {
                    double profit2 = position.GrossProfit + position.Commissions - StopLoss * 10 * position.VolumeInUnits / 100000.0;

                    if (profit2 > 0.0 && position.TradeType == TradeType.Buy)
                    {
                        double? stopLossPrice = Symbol.Ask - StopLoss * Symbol.PipSize;

                        if (StopLoss != 0 && stopLossPrice > position.StopLoss && stopLossPrice > position.EntryPrice)
                            if (stopLossPrice - Symbol.Ask < 0)
                                ModifyPosition(position, stopLossPrice, position.TakeProfit);
                    }
                }

debongos

Sorry, missed a portion of the code in the original post -

protected override void OnTick()
        {

            foreach (var position in Positions)
            {
                if (Symbol.Name != position.SymbolName)
                    continue;
                //set initial sotploss
                if (position.TradeType == TradeType.Sell && position.StopLoss == null)
                    ModifyPosition(position, position.EntryPrice + init_StopLoss * Symbol.PipSize, null);
                if (position.TradeType == TradeType.Buy && position.StopLoss == null)
                    ModifyPosition(position, position.EntryPrice - init_StopLoss * Symbol.PipSize, null);


                //trailling stop
                if (position.GrossProfit <= 0)
                    continue;

                if (position.TradeType == TradeType.Sell)
                {
                    double profit1 = position.GrossProfit + position.Commissions - StopLoss * 10 * position.VolumeInUnits / 100000.0;

                    if (profit1 > 0.0 && position.TradeType == TradeType.Sell)
                    {
                        double? stopLossPrice = Symbol.Bid + StopLoss * Symbol.PipSize;
                        if (StopLoss != 0 && stopLossPrice < position.StopLoss && stopLossPrice < position.EntryPrice)
                        {
                            if (stopLossPrice - Symbol.Bid > 0)
                            {
                                ModifyPosition(position, stopLossPrice, position.TakeProfit);
                            }
                        }
                    }
                }
                else
                {
                    double profit2 = position.GrossProfit + position.Commissions - StopLoss * 10 * position.VolumeInUnits / 100000.0;

                    if (profit2 > 0.0 && position.TradeType == TradeType.Buy)
                    {
                        double? stopLossPrice = Symbol.Ask - StopLoss * Symbol.PipSize;

                        if (StopLoss != 0 && stopLossPrice > position.StopLoss && stopLossPrice > position.EntryPrice)
                            if (stopLossPrice - Symbol.Ask < 0)
                                ModifyPosition(position, stopLossPrice, position.TakeProfit);
                    }
                }
            }
        }
    }
}

debongos

Actually found earlier advice for a much simpler solution.

[Parameter("Trailling Stop (pips)", Group = "Protection", DefaultValue = 20.0)]
public int StopLoss { get; set; }

ExecuteMarketOrder(TradeType.Sell, SymbolName, tradelots, label, StopLoss, null, "", true);

ExecuteMarketOrder(TradeType.Buy, SymbolName, tradelots, label, StopLoss, null, "", true);

Seems to work well in test. Will see ho wit goes in live.

Mike

Try implementing the following:

public void SetTrailingStop(Position p)
        {
            double newStopLossPrice = 0;

            try
            {
                if (p.TradeType == TradeType.Sell)
                {
                    double distance = p.EntryPrice - Symbol.Ask;

                    if (distance < TrailingStopTrigger * Symbol.PipSize)
                        return;

                    newStopLossPrice = Symbol.Ask + TrailingStopStep * Symbol.PipSize;

                    if (p.StopLoss == null || newStopLossPrice < p.StopLoss)
                    {
                        if (p.TakeProfit == null)
                        {
                            ModifyPosition(p, newStopLossPrice, null);
                        }
                        else
                        {
                            ModifyPosition(p, newStopLossPrice, p.TakeProfit);
                        }
                    }
                }

                if (p.TradeType == TradeType.Buy)
                {
                    double distance = Symbol.Bid - p.EntryPrice;

                    if (distance < TrailingStopTrigger * Symbol.PipSize)
                        return;

                    newStopLossPrice = Symbol.Bid - TrailingStopStep * Symbol.PipSize;

                    if (p.StopLoss == null || newStopLossPrice > p.StopLoss)
                    {
                        if (p.TakeProfit == null)
                        {
                            ModifyPosition(p, newStopLossPrice, null);
                        }
                        else
                        {
                            ModifyPosition(p, newStopLossPrice, p.TakeProfit);
                        }
                    }
                }
            }
            catch (Exception ex)
            {
                PrintLog("SetTrailingStop: " + ex.Message);
                PrintLog("Entry price: " + p.EntryPrice.ToString());
                PrintLog("New stop loss price: " + newStopLossPrice.ToString());
            }
        }

debongos

Cheers Mike, I will add it to my bot and see how it goes.

regards,

Peter

debongos

Hi Mike, the bot still trades well in test however I don't think the trailing stop loss is working. The PrintLog was an issue so I changed to just Print which seemed to be the solution though no matter what Stop Loss or Trailing Stop Loss settings I use, there is nothing in the log. Any suggestions on the below would be greatly appreciated.

using System;
using System.Linq;
using cAlgo.API;
using cAlgo.API.Indicators;
using cAlgo.API.Internals;
using cAlgo.Indicators;

namespace cAlgo
{
    [Robot(TimeZone = TimeZones.UTC, AccessRights = AccessRights.None)]
    public class BreakoutSix : Robot
    {


        [Parameter("Percentage", Group = "Volume", DefaultValue = 98, MinValue = 1, Step = 1)]
        public double Percentage { get; set; }

        [Parameter("Lower", Group = "Volume", DefaultValue = 10, MinValue = 1, Step = 0.01)]
        public double Lower { get; set; }

        [Parameter("Upper", Group = "Volume", DefaultValue = 100, MinValue = 1, Step = 0.01)]
        public double Upper { get; set; }

        [Parameter("Source", Group = "Bollinger Bands")]
        public DataSeries Source { get; set; }

        [Parameter("Band Height (pips)", Group = "Bollinger Bands", DefaultValue = 40.0, MinValue = 0)]
        public double BandHeightPips { get; set; }

        [Parameter("Bollinger Bands Deviations", Group = "Bollinger Bands", DefaultValue = 2)]
        public double Deviations { get; set; }

        [Parameter("Bollinger Bands Periods", Group = "Bollinger Bands", DefaultValue = 20)]
        public int Periods { get; set; }

        [Parameter("Bollinger Bands MA Type", Group = "Bollinger Bands")]
        public MovingAverageType MAType { get; set; }

        [Parameter("Consolidation Periods", Group = "Bollinger Bands", DefaultValue = 2)]
        public int ConsolidationPeriods { get; set; }

        [Parameter("Initial Stop (pips)", Group = "Protection", DefaultValue = 20.0)]
        public int TrailingStopTrigger { get; set; }

        [Parameter("Trailling Stop (pips)", Group = "Protection", DefaultValue = 8.0)]
        public int TrailingStopStep { get; set; }

        [Parameter("Take Profit (pips)", Group = "Protection", DefaultValue = 20.0)]
        public int TakeProfit { get; set; }

        BollingerBands bollingerBands;
        string label = "Sample Breakout cBot";
        int consolidation;

        protected override void OnStart()
        {
            bollingerBands = Indicators.BollingerBands(Source, Periods, Deviations, MAType);
        }

        protected override void OnBar()
        {

            var top = bollingerBands.Top.Last(1);
            var bottom = bollingerBands.Bottom.Last(1);

            if (top - bottom <= BandHeightPips * Symbol.PipSize)
            {
                consolidation = consolidation + 1;
            }
            else
            {
                consolidation = 0;
            }

            if (consolidation >= ConsolidationPeriods)
            {
                var volumeInUnits = Math.Floor(Account.FreeMargin - (Account.Balance * (Percentage / 100)));

                double tradelots = Symbol.NormalizeVolumeInUnits(volumeInUnits, RoundingMode.ToNearest);

                if (Ask < (bottom + (((top - bottom) / 100) * Upper)))

                    ExecuteMarketOrder(TradeType.Buy, SymbolName, tradelots, label, TrailingStopTrigger, null, "", true);


                if (Bid > (top - (((top - bottom) / 100) * Lower)))

                    ExecuteMarketOrder(TradeType.Sell, SymbolName, tradelots, label, TrailingStopTrigger, null, "", true);


                consolidation = 0;
            }
        }



        public void SetTrailingStop(Position p)
        {
            double newStopLossPrice = 0;

            try
            {
                if (p.TradeType == TradeType.Sell)
                {
                    double distance = p.EntryPrice - Symbol.Ask;

                    if (distance < TrailingStopTrigger * Symbol.PipSize)
                        return;

                    newStopLossPrice = Symbol.Ask + TrailingStopStep * Symbol.PipSize;

                    if (p.StopLoss == null || newStopLossPrice < p.StopLoss)
                    {
                        if (p.TakeProfit == null)
                        {
                            ModifyPosition(p, newStopLossPrice, null);
                        }
                        else
                        {
                            ModifyPosition(p, newStopLossPrice, p.TakeProfit);
                        }
                    }
                }

                if (p.TradeType == TradeType.Buy)
                {
                    double distance = Symbol.Bid - p.EntryPrice;

                    if (distance < TrailingStopTrigger * Symbol.PipSize)
                        return;

                    newStopLossPrice = Symbol.Bid - TrailingStopStep * Symbol.PipSize;

                    if (p.StopLoss == null || newStopLossPrice > p.StopLoss)
                    {
                        if (p.TakeProfit == null)
                        {
                            ModifyPosition(p, newStopLossPrice, null);
                        }
                        else
                        {
                            ModifyPosition(p, newStopLossPrice, p.TakeProfit);
                        }
                    }
                }
            } catch (Exception ex)
            {
                Print("SetTrailingStop: " + ex.Message);
                Print("Entry price: " + p.EntryPrice.ToString());
                Print("New stop loss price: " + newStopLossPrice.ToString());
            }
        }
    }
}

Mike

In the OnTick method add this.

var positions = Positions.Where(x => x.SymbolName == this.SymbolName);

 foreach (var position in positions)
 {
    SetTrailingStop(position);
 }

markgreen1969

Hi, first time here so opoligies if I've jumped in to the middle of someones thread, but, would someone kindley throw some light on how the risk (in volume) in the below parameters directly relates to risk (in lots) please. I don't understand what the 98% is refering to, nor do I understand the upper and lower values. Thank you.

    [Parameter("Percentage", Group = "Volume", DefaultValue = 98, MinValue = 1, Step = 1)]
    public double Percentage { get; set; }

    [Parameter("Upper", Group = "Volume", DefaultValue = 100, MinValue = 1, Step = 0.01)]
    public double Upper { get; set; }

    [Parameter("Lower", Group = "Volume", DefaultValue = 10, MinValue = 1, Step = 0.01)]
    public double Lower { get; set; }

Mike

@markgreen1969#1571 Hi, Mark, it's best to start a new thread and ask for the original poster to reply, this threads question is for the trailing stop and not the trading strategy settings.

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