Backtesting script for ATR Trail Stop

Chuck

Well-known member
Can anyone help me make this strategy work. It has an error or two in it and I need help to make it work. Any help would be greatly appreciated. I want it to buy on the way up and sell on the way down using only 1 contract in the futures market.

Code:
input trailType = {default modified, unmodified};
input ATRPeriod = 5;
input ATRFactor = 3.5;
input firstTrade = {default long, short};
input averageType = AverageType.WILDERS;
Assert(ATRFactor > 0, "'atr factor' must be positive: " + ATRFactor);
def HiLo = Min(high - low, 1.5 * Average(high - low, ATRPeriod));
def HRef = if low <= high[1] then high - close[1] else (high - close[1]) - 0.5 *
(low - high[1]);
def LRef = if high >= low[1]
then close[1] - low
else (close[1] - low) - 0.5 * (low[1] - high);
def trueRange;
switch (trailType) {
case modified:
    trueRange = Max(HiLo, Max(HRef, LRef));
case unmodified:
    trueRange = TrueRange(high, close, low);
}
def loss = ATRFactor * MovingAverage(averageType, trueRange, ATRPeriod);
def state = {default init, long, short};
def trail;
switch (state[1]) {
case init:
    if (!IsNaN(loss)) {
        switch (firstTrade) {
        case long:
            state = state.long;
            trail = close - loss;
        case short:
            state = state.short;
            trail = close + loss;
    }
    } else {
        state = state.init;
        trail = Double.NaN;
    }
case long:
    if (close > trail[1]) {
        state = state.long;
        trail = Max(trail[1], close - loss);
    } else {
        state = state.short;
        trail = close + loss;
    }
case short:
    if (close < trail[1]) {
        state = state.short;
        trail = Min(trail[1], close + loss);
    } else {
        state = state.long;
        trail = close - loss;
    }
}
def BuySignal = Crosses(state == state.long, 0, CrossingDirection.ABOVE);
def SellSignal = Crosses(state == state.short, 0, CrossingDirection.ABOVE);
# move comment markers dependin on which of these two you want to run
plot scan = BuySignal;
input trailType = {default modified, unmodified};
input ATRPeriod = 2;
input ATRFactor = 2;
input firstTrade = {default long, short};
input averageType = AverageType.WILDERS;
Assert(ATRFactor > 0, "'atr factor' must be positive: " + ATRFactor);
def HiLo = Min(high - low, 1.5 * Average(high - low, ATRPeriod));
def HRef = if low <= high[1] then high - close[1] else (high - close[1]) - 0.5 *
(low - high[1]);
def LRef = if high >= low[1]
then close[1] - low
else (close[1] - low) - 0.5 * (low[1] - high);
def trueRange;
switch (trailType) {
case modified:
    trueRange = Max(HiLo, Max(HRef, LRef));
case unmodified:
    trueRange = TrueRange(high, close, low);
}
def loss = ATRFactor * MovingAverage(averageType, trueRange, ATRPeriod);
def state = {default init, long, short};
def trail;
switch (state[1]) {
case init:
    if (!IsNaN(loss)) {
        switch (firstTrade) {
        case long:
            state = state.long;
            trail = close - loss;
        case short:
            state = state.short;
            trail = close + loss;
    }
    } else {
        state = state.init;
        trail = Double.NaN;
    }
case long:
    if (close > trail[1]) {
        state = state.long;
        trail = Max(trail[1], close - loss);
    } else {
        state = state.short;
        trail = close + loss;
    }
case short:
    if (close < trail[1]) {
        state = state.short;
        trail = Min(trail[1], close + loss);
    } else {
        state = state.long;
        trail = close - loss;
    }
}
def BuySignal = Crosses(state == state.long, 0, CrossingDirection.ABOVE);
def SellSignal = Crosses(state == state.short, 0, CrossingDirection.ABOVE);
# move comment markers dependin on which of these two you want to run
plot scan = BuySignal;
plot scan = SellSignal;

AddOrder(OrderType.BUY_AUTO, scan, tickcolor = GetColor(0), arrowcolor = GetColor(0));
AddOrder(OrderType.SELL_AUTO, scan, tickcolor = GetColor(0), arrowcolor = GetColor(0));

AddOrder(OrderType.BUY_AUTO, scan, tickcolor = GetColor(0), arrowcolor = GetColor(0));
AddOrder(OrderType.SELL_AUTO, scan, tickcolor = GetColor(0), arrowcolor = GetColor(0));
 

Join useThinkScript to post your question to a community of 21,000+ developers and traders.

You are trying to redefine variables and that is not allowed... Variables state, firstTrade, and many others, are defined more than once...
Rad14733, Thank you for your reply. I am not a coder lol. That is exactly what the error message says..... the problem is I have no clue as to how to fix that....lol. I know it is a simple fix .....but out of my range of capabilities, could you possibly assist me?
 
Reduce the number of variable definitions or change some of them to use different names... I'm trying to get you to do the work rather than simply handing you code... That's how you learn...
 
That would be great someday, however I haver no clue where to start. I have no clue what names to change anything to and no idea what variable definitions to change.

Could someone please correct these issues for me, I would appreciate it very much!
 
That would be great someday, however I haver no clue where to start. I have no clue what names to change anything to and no idea what variable definitions to change.

Could someone please correct these issues for me, I would appreciate it very much!
I can take a look later if you can't get things figured out... I try to make it a point to not just fire off code upon request because I've found that doing so just brings on more requests rather than someone trying to learn... You've put forth effort so I'm confident that you'll try to learn from any code provided... Then perhaps someday you'll be helping someone else... I'll look closer later this evening...
 
Thank you so much, I have been comparing it to other code, researching terms on the TOS website and trying other things. I have not had much success. Some things I can figure out, like adding snippets and style changes etc. Other things are still a little dawnting.

I would greatly appreciate any help and assure you I will learn from your effots.
 

Similar threads

Not the exact question you're looking for?

Start a new thread and receive assistance from our community.

87k+ Posts
354 Online
Create Post

Similar threads

Similar threads

The Market Trading Game Changer

Join 2,500+ subscribers inside the useThinkScript VIP Membership Club
  • Exclusive indicators
  • Proven strategies & setups
  • Private Discord community
  • ‘Buy The Dip’ signal alerts
  • Exclusive members-only content
  • Add-ons and resources
  • 1 full year of unlimited support

Frequently Asked Questions

What is useThinkScript?

useThinkScript is the #1 community of stock market investors using indicators and other tools to power their trading strategies. Traders of all skill levels use our forums to learn about scripting and indicators, help each other, and discover new ways to gain an edge in the markets.

How do I get started?

We get it. Our forum can be intimidating, if not overwhelming. With thousands of topics, tens of thousands of posts, our community has created an incredibly deep knowledge base for stock traders. No one can ever exhaust every resource provided on our site.

If you are new, or just looking for guidance, here are some helpful links to get you started.

What are the benefits of VIP Membership?
VIP members get exclusive access to these proven and tested premium indicators: Buy the Dip, Advanced Market Moves 2.0, Take Profit, and Volatility Trading Range. In addition, VIP members get access to over 50 VIP-only custom indicators, add-ons, and strategies, private VIP-only forums, private Discord channel to discuss trades and strategies in real-time, customer support, trade alerts, and much more. Learn all about VIP membership here.
How can I access the premium indicators?
To access the premium indicators, which are plug and play ready, sign up for VIP membership here.
Back
Top