Trailing Stop Loss Help C#

debongos

Trailing Stop Loss

I have received good advice in this area however I could do with further help on the code below. When optimizing the code works well with history showing trades closing in either profit or loss and it is the same with the back testing. When I run it live there is never a stop loss set either initially or trailing. I could let the trade continue into negative GP but the stop loss always remains blank. Why does it work in back testing but not live?

protected override void OnBar()
        {
            var Volumn = Math.Floor(Account.Equity * (Percentage / 1000));
            var VolumeInUnits = Symbol.NormalizeVolumeInUnits(Volumn, RoundingMode.Down);

            if (double.IsNaN(_fractal1.UpFractal.Last(Period1)) == false && _stochastic.PercentK.Last(kLast1) > _stochastic.PercentD.Last(dLast1))
            {

                if (_stochastic.PercentD.Last(dLast3) > Up_Level && _stochastic.PercentK.Last(kLast3) > Up_Level)
                {

                    ExecuteMarketOrder(TradeType.Sell, SymbolName, VolumeInUnits, "ZEEBOT1", StopLoss, TakeProfit, "newStopLossPrice", true);

                }

            }

            else if (double.IsNaN(_fractal1.DownFractal.Last(Period1)) == false && _stochastic.PercentK.Last(kLast4) < _stochastic.PercentD.Last(dLast4))
            {

                if (_stochastic.PercentD.Last(dLast6) < Down_Level && _stochastic.PercentK.Last(dLast6) < Down_Level)
                {

                    ExecuteMarketOrder(TradeType.Buy, SymbolName, VolumeInUnits, "ZEEBOT1", StopLoss2, TakeProfit2, "newStopLossPrice", true);


                }
            }
        }



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


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

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

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

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

                    newStopLossPrice = Symbol.Ask + TrailingStop * 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 < StopLoss2 * Symbol.PipSize)
                        return;

                    newStopLossPrice = Symbol.Bid - TrailingStop * 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

Inside your Trailing stop method, you have a recursive method call, so it will keep calling itself, remove this code.

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

Instead, wrap everything in the SetTrailingStop method with the foreach loop and put the code below in the OnTick method.

SetTrailingStop(position);

debongos

Hi Mike, made the change on the Trailing stop method and all good. Just confirming your last advice though. The Trailing stop method remains within the On Bar method and within the On Tick method place the code SetTrailigStop(position); ?

Did this and receive this error - Error CS0103: The name 'position' does not exist in the current context

public void SetTrailingStop(Position p)
        {
            double newStopLossPrice = 0;
            var positions = Positions.Where(x => x.SymbolName == this.SymbolName);

            foreach (var position in positions)

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

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

                        newStopLossPrice = Symbol.Ask + TrailingStop * 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 < StopLoss2 * Symbol.PipSize)
                            return;

                        newStopLossPrice = Symbol.Bid - TrailingStop * 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());
                }
        }



        protected override void OnTick()
        {

            SetTrailingStop(position);

        }


        protected override void OnStop()
        {
            // Put your deinitialization logic here
        }
    }
}

debongos

I ended up placing the whole Trailing Stop Code within the On Tick Method which seems to work. There is no SetTrailingStop(position); in this block but please advise if it is meant to be and where. Seems to work without it.

Thanking you for your help.

Peter


protected override void OnTick()
        {

            double newStopLossPrice = 0;
            var positions = Positions.Where(x => x.SymbolName == this.SymbolName);

            foreach (var position in positions)

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

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

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

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

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

                        if (distance < StopLoss2 * Symbol.PipSize)
                            return;

                        newStopLossPrice = Symbol.Bid - TrailingStop2 * Symbol.PipSize;

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

                } catch (Exception ex)
                {
                    Print("SetTrailingStop: " + ex.Message);
                    Print("Entry price: " + position.EntryPrice.ToString());
                    Print("New stop loss price: " + newStopLossPrice.ToString());
                }
        }

Mike

You no longer need this method, each time there is a price change (ontick) the TSL code will execute, this will work.