ATR Trailing stop w/ fib retracements

[Inspir]

I have been trying to come up with an indicator that plots good take-profit areas or zones, and so I decided to try fib retracements on the atr trailing stop. I've started the script, but at the moment it is a little too scraped together and it would be nice if more knowledgeable coders had a look at it and provided some advice.

Right now the indicator:

• Plots a dot at the 161.8, 261.8, and 423.6 levels from close to ATR trailing stop on long/short switches
• Plots a dotted line from the three fib dots using the highest() function (scraped together part)

Because the script uses the highest() function, and because of the way that the fibs are coded, if price moves too fast, sometimes the indicator will kind of "glitch out" as illustrated at the beginning and end of today's trading session in the following image:

So instead it would look more like this, except that the retracements would cut off as the ATR trailingstop switches from short to long:

So, is there is a way to just plot the dot or dotted line as one horizontal line instead? preferably until the stop switches trend?

Here is the link to the indicator:
https://tos.mx/AgpECjM

Any help would be greatly appreciated! Thank you in advance!

 

[BenTen]

@Inspir This sounds similar to an existing indicator on our forum called SwingArm. Maybe you can take a look at the code below and see if that helps.

# Original Code From: TD Ameritrade IP Company, Inc. (c) 2009-2020
# Original StudyName: ATRTrailingStop
# Type: Study

# blackFLAG FTS SwingArms
# Edited by: Jose Azcarate
# blackFLAG Futures Trading - FOR EDUCATIONAL PURPOSES ONLY
# TWITTER: @blackflagfuture
# Settings Vary. My preferred setting is 28 / 5  But also use 30 / 8 and 5 / 3.5 depending on strategy.

input trailType = {default modified, unmodified};
input ATRPeriod = 28;
input ATRFactor = 5;
input firstTrade = {default long, short};
input averageType = AverageType.WILDERS;

input fib1Level = 61.8;
input fib2Level = 78.6;
input fib3Level = 88.6;

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);

def ex = if BuySignal then high else if SellSignal then low else if state == state.long then Max(ex[1], high) else if state == state.short then Min(ex[1], low) else ex[1];

plot TrailingStop = trail;

TrailingStop.SetPaintingStrategy(PaintingStrategy.POINTS);
TrailingStop.DefineColor("Long", Color.GREEN);
TrailingStop.DefineColor("Short", Color.RED);
TrailingStop.AssignValueColor(if state == state.long
    then TrailingStop.Color("Long")
    else TrailingStop.Color("Short"));

plot Extremum = ex;
Extremum.SetPaintingStrategy(PaintingStrategy.POINTS);
Extremum.DefineColor("HH", Color.GREEN);
Extremum.DefineColor("LL", Color.RED);
Extremum.AssignValueColor(if state == state.long
    then Extremum.Color("HH")
    else Extremum.Color("LL"));
Extremum.Hide();

def f1 = ex + (trail - ex) * fib1Level / 100;
def f2 = ex + (trail - ex) * fib2Level / 100;
def f3 = ex + (trail - ex) * fib3Level / 100;
def l100 = trail + 0;

plot Fib1 = f1;
Fib1.SetPaintingStrategy(PaintingStrategy.POINTS);
Fib1.SetDefaultColor(Color.BLACK);
Fib1.Hide();

plot Fib2 = f2;
Fib2.SetPaintingStrategy(PaintingStrategy.POINTS);
Fib2.SetDefaultColor(Color.BLACK);
Fib2.Hide();

plot Fib3 = f3;
Fib3.SetPaintingStrategy(PaintingStrategy.POINTS);
Fib3.SetDefaultColor(Color.BLACK);
Fib3.Hide();

AddCloud(f1, f2, Color.LIGHT_GREEN, Color.LIGHT_RED, no);
AddCloud(f2, f3, Color.GREEN, Color.RED, no);
AddCloud(f3, l100, Color.DARK_GREEN, Color.DARK_RED, no);

def l1 = state[1] == state.long and close crosses below f1[1];
def l2 = state[1] == state.long and close crosses below f2[1];
def l3 = state[1] == state.long and close crosses below f3[1];
def s1 = state[1] == state.short and close crosses above f1[1];
def s2 = state[1] == state.short and close crosses above f2[1];
def s3 = state[1] == state.short and close crosses above f3[1];

def atr = Average(TrueRange(high, close, low), 14);

plot LS1 = if l1 then low - atr else Double.NaN;
plot LS2 = if l2 then low - 1.5 * atr else Double.NaN;
plot LS3 = if l3 then low - 2 * atr else Double.NaN;
plot SS1 = if s1 then high + atr else Double.NaN;
plot SS2 = if s2 then high + 1.5 * atr else Double.NaN;
plot SS3 = if s3 then high + 2 * atr else Double.NaN;

LS1.SetPaintingStrategy(PaintingStrategy.ARROW_UP);
LS1.SetDefaultColor(Color.GREEN);
LS1.SetLineWeight(1);
LS1.Hide();
LS2.SetPaintingStrategy(PaintingStrategy.ARROW_UP);
LS2.SetDefaultColor(Color.GREEN);
LS2.SetLineWeight(1);
LS2.Hide();
LS3.SetPaintingStrategy(PaintingStrategy.ARROW_UP);
LS3.SetDefaultColor(Color.GREEN);
LS3.SetLineWeight(1);
LS3.Hide();

SS1.SetPaintingStrategy(PaintingStrategy.ARROW_DOWN);
SS1.SetDefaultColor(Color.RED);
SS1.SetLineWeight(1);
SS1.Hide();
SS2.SetPaintingStrategy(PaintingStrategy.ARROW_DOWN);
SS2.SetDefaultColor(Color.RED);
SS2.SetLineWeight(1);
SS2.Hide();
SS3.SetPaintingStrategy(PaintingStrategy.ARROW_DOWN);
SS3.SetDefaultColor(Color.RED);
SS3.SetLineWeight(1);
SS3.Hide();

Alert(l1, "Price crossed below Fib1 level in long trend", Alert.BAR, Sound.Bell);
Alert(l2, "Price crossed below Fib2 level in long trend", Alert.BAR, Sound.Bell);
Alert(l3, "Price crossed below Fib3 level in long trend", Alert.BAR, Sound.Bell);
Alert(s1, "Price crossed above Fib1 level in short trend", Alert.BAR, Sound.Bell);
Alert(s2, "Price crossed above Fib2 level in short trend", Alert.BAR, Sound.Bell);
Alert(s3, "Price crossed above Fib3 level in short trend", Alert.BAR, Sound.Bell);

 

[Inspir]

@BenTen

Thanks for response. I've taken a look at the swingarm indicator, and the problem is that swingarm calculates different fib levels for each bar, and my goal is to calculate one set of fib levels that do not change from bar to bar, until there is a switch in the trend as defined by the trailing stop.

I just don't know how to write code that will calculate a variable only once (variable "diff" below), and then not continually recalculate the variable on each of the succeeding bars.

def change = state[1] == state.long and state == state.short or state[1] == state.short and state == state.long;
def diff = if change is true then close - trail else if change is false then 0 else Double.NaN;
plot fib1 = trail + (diff * 1.618);
plot fib2 = trail + (diff * 2.618);
plot fib3 = trail + (diff * 4.23);

The closest indicator to what i want to achieve that I have found is the B3 consolidation box, which I'll link.

# B3 Consolidation Box   v1

# -- Automates a box and shows the breakouts via price color with targets based on the box's range.

# -- In a system the gray balance line would be your stop, or you may exit on any trip back within the old box range.

# -- The color of the candles does not tell you when to be long or short, it simply tells you the last signal given.

# -- You must manage your trade targets via your own profit protection tactics.

# Intended only for the use of the person(s) to who(m) this script was originally distributed.

# User of the script assumes all risk;

# The coder and the distributers are not responsible for any loss of capital incurred upon usage of this script.

#

declare upper;

input BarsUsedForRange = 2;

input BarsRequiredToRemainInRange = 7;

input TargetMultiple = 0.5;

input ColorPrice = yes;

input HideTargets = no;

input HideBalance = no;

input HideBoxLines = no;

input HideCloud = no;

input HideLabels = no;

# Identify Consolidation

def HH = highest(high[1], BarsUsedForRange);

def LL = lowest(low[1], BarsUsedForRange);

def maxH = highest(hh, BarsRequiredToRemainInRange);

def maxL = lowest(ll, BarsRequiredToRemainInRange);

def HHn = if maxH == maxH[1] or maxL == maxL then maxH else HHn[1];

def LLn = if maxH == maxH[1] or maxL == maxL then maxL else LLn[1];

def Bh = if high <= HHn and HHn == HHn[1] then HHn else double.nan;

def Bl = if low >= LLn and LLn == LLn[1] then LLn else double.nan;

def CountH = if isnan(Bh) or isnan(Bl) then 2 else CountH[1] + 1;

def CountL = if isnan(Bh) or isnan(Bl) then 2 else CountL[1] + 1;

def ExpH = if barnumber() == 1 then double.nan else

            if CountH[-BarsRequiredToRemainInRange] >= BarsRequiredToRemainInRange then HHn[-BarsRequiredToRemainInRange] else

            if High <= ExpH[1] then ExpH[1] else double.nan;

def ExpL = if barnumber() == 1 then double.nan else

            if Countl[-BarsRequiredToRemainInRange] >= BarsRequiredToRemainInRange then LLn[-BarsRequiredToRemainInRange] else

            if Low >= ExpL[1] then ExpL[1] else double.nan;

# Plot the High and Low of the Box; Paint Cloud

plot BoxHigh = if !isnan(expL) and !isnan(ExpH) then ExpH else double.nan;

plot BoxLow = if !isnan(expL) and !isnan(ExpH) then ExpL else double.nan;

boxhigh.setdefaultColor(color.dark_green);

BoxHigh.setpaintingStrategy(paintingStrategy.HORIZONTAL);

BoxLow.setpaintingStrategy(paintingStrategy.HORIZONTAL);

BoxLow.setdefaultColor(color.dark_red);

BoxHigh.SETHIDING(HideBoxLines);

BoxLow.SETHIDING(HideBoxLines);

addcloud(if !HideCloud then BoxHigh else double.nan, BoxLow, color.gray, color.gray);

# Things to the Right of a Finished Box

def eH = if barnumber() == 1 then double.nan else if !isnan(BoxHigh[1]) and isnan(BoxHigh) then BoxHigh[1] else eh[1];

def eL = if barnumber() == 1 then double.nan else if !isnan(BoxLow[1]) and isnan(BoxLow) then BoxLow[1] else el[1];

def diff = (eh - el) * TargetMultiple;

plot Balance = if isnan(boxhigh) and isnan(boxlow) then (eh+el)/2 else double.nan;

plot Htgt_1 = if isnan(Boxhigh) and high >= eh then eh + diff else double.nan;

plot Htgt_2 = if isnan(Boxhigh) and high >= eh then eh + diff*2 else double.nan;

plot Htgt_3 = if isnan(Boxhigh) and high >= eh then eh + diff*3 else double.nan;

plot Htgt_4 = if isnan(Boxhigh) and high >= eh then eh + diff*4 else double.nan;

plot Htgt_5 = if isnan(Boxhigh) and high >= eh then eh + diff*5 else double.nan;

plot Htgt_6 = if isnan(Boxhigh) and high >= eh then eh + diff*6 else double.nan;

plot Ltgt_1 = if isnan(BoxLow) and Low <= eL then eL - diff else double.nan;

plot Ltgt_2 = if isnan(BoxLow) and Low <= eL then eL - diff*2 else double.nan;

plot Ltgt_3 = if isnan(BoxLow) and Low <= eL then eL - diff*3 else double.nan;

plot Ltgt_4 = if isnan(BoxLow) and Low <= eL then eL - diff*4 else double.nan;

plot Ltgt_5 = if isnan(BoxLow) and Low <= eL then eL - diff*5 else double.nan;

plot Ltgt_6 = if isnan(BoxLow) and Low <= eL then eL - diff*6 else double.nan;

Balance.SETHIDING(HideBalance);

Balance.setdefaultColor(CREATECOLOR(255,255,255));

Balance.setpaintingStrategy(PAIntingStrategy.SQUARES);

Htgt_2.setlineWeight(2);

Htgt_4.setlineWeight(2);

Htgt_6.setlineWeight(2);

Htgt_1.setdefaultColor(CREATECOLOR( 50, 100 , 75));

Htgt_1.setpaintingStrategy(PAIntingStrategy.DASHES);

Htgt_2.setdefaultColor(CREATECOLOR( 50, 100 , 75));

Htgt_2.setpaintingStrategy(paintingStrategy.HORIZONTAL);

Htgt_3.setdefaultColor(CREATECOLOR( 50, 100 , 75));

Htgt_3.setpaintingStrategy(PAIntingStrategy.DASHES);

Htgt_4.setdefaultColor(CREATECOLOR( 50, 100 , 75));

Htgt_4.setpaintingStrategy(paintingStrategy.HORIZONTAL);

Htgt_5.setdefaultColor(CREATECOLOR( 50, 100 , 75));

Htgt_5.setpaintingStrategy(PAIntingStrategy.DASHES);

Htgt_6.setdefaultColor(CREATECOLOR( 50, 100 , 75));

Htgt_6.setpaintingStrategy(paintingStrategy.HORIZONTAL);

Ltgt_2.setlineWeight(2);

Ltgt_4.setlineWeight(2);

Ltgt_6.setlineWeight(2);

Ltgt_1.setdefaultColor(CREATECOLOR( 100, 50 , 75));

Ltgt_1.setpaintingStrategy(PAIntingStrategy.DASHES);

Ltgt_2.setdefaultColor(CREATECOLOR( 100, 50 , 75));

Ltgt_2.setpaintingStrategy(paintingStrategy.HORIZONTAL);

Ltgt_3.setdefaultColor(CREATECOLOR( 100, 50 , 75));

Ltgt_3.setpaintingStrategy(PAIntingStrategy.DASHES);

Ltgt_4.setdefaultColor(CREATECOLOR( 100, 50 , 75));

Ltgt_4.setpaintingStrategy(paintingStrategy.HORIZONTAL);

Ltgt_5.setdefaultColor(CREATECOLOR( 100, 50 , 75));

Ltgt_5.setpaintingStrategy(PAIntingStrategy.DASHES);

Ltgt_6.setdefaultColor(CREATECOLOR( 100, 50 , 75));

Ltgt_6.setpaintingStrategy(paintingStrategy.HORIZONTAL);

Htgt_1.SETHIDING(HIDETARGETS);

Htgt_2.SETHIDING(HIDETARGETS);

Htgt_3.SETHIDING(HIDETARGETS);

Htgt_4.SETHIDING(HIDETARGETS);

Htgt_5.SETHIDING(HIDETARGETS);

Htgt_6.SETHIDING(HIDETARGETS);

Ltgt_1.SETHIDING(HIDETARGETS);

Ltgt_2.SETHIDING(HIDETARGETS);

Ltgt_3.SETHIDING(HIDETARGETS);

Ltgt_4.SETHIDING(HIDETARGETS);

Ltgt_5.SETHIDING(HIDETARGETS);

Ltgt_6.SETHIDING(HIDETARGETS);

# Labels

addlabel(!HideLabels, "TgtLvls = " + diff + "pts each | Bal = " + balance, if high > eh  and low < el then color.yellow else if high > eh then color.green else if low < el then color.red else color.gray);

addlabel(!HideLabels && high > eh && low < el, "OUTSIDE BAR!!", color.yellow);

addlabel(!HideLabels && high > eh && low >= el, "Long", color.green);

addlabel(!HideLabels && high <= eh && low < el, "Short", color.red);

#Price Color

assignPriceColor(if !ColorPrice then color.current else if !isnan(BoxHigh) then color.gray else

                    if high > eh  and low < el then color.yellow else

                    if high > eh then color.green else if low < el then color.red else color.gray);

 

[Sirrous]

I'd mimic the swingarm code except I'd add a condition to check for state change, then store the new value in a variable until it changes again.

Something like if state != state[1] then ...

Sorry not near a computer so can't work all the logic out from memory.

 

[Sirrous]

# Store Initial change value
def switchVal = if state == state[1] then switchVal[1] else trail;
plot switchLine = switchVal;

http://tos.mx/ADdlM8T

That will give you a single value when the trailstop switches from long to short to calculate the fib levels off of.

 

[Playstation]

@Inspir I appreciate what you've started, but could you describe your problem more accurately? What is it that you want the code to accomplish?

 

[Sirrous]

I'm not sure if this is what you were going for, I tried to go off what you described.

input fibprice = hl2;
input trailType = {default modified, unmodified};
input ATRPeriod = 5;
input ATRFactor = 3.5;
input firstTrade = {default long, short};
input averageType = AverageType.WILDERS;
input fibLvl1 = 1.618;
input fibLvl2 = 2.618;
input fibLvl3 = 4.23;

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;
    }
}
plot BuySignal = if Crosses(state == state.long, 0, CrossingDirection.ABOVE) then low else Double.NaN;
BuySignal.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_UP);
plot SellSignal = if Crosses(state == state.short, 0, CrossingDirection.ABOVE) then high else Double.NaN;
SellSignal.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_DOWN);
plot TrailingStop = trail;
TrailingStop.SetPaintingStrategy(PaintingStrategy.LINE);
TrailingStop.SetLineWeight(3);
TrailingStop.DefineColor("Buy", GetColor(0));
TrailingStop.DefineColor("Sell", GetColor(1));
TrailingStop.AssignValueColor(if state == state.long
then TrailingStop.Color("Sell")
else TrailingStop.Color("Buy"));

# Store Initial change value
def switchVal = if state == state[1] then switchVal[1] else trail;
#plot switchLine = switchVal;

            ### FIB Level Calculations ###
def change = if state == state[1] then no else yes;
def diff = if change then fibprice - switchVal else diff[1];

def fibval1 = switchVal + (diff * fibLvl1);
def fibval2 = switchVal + (diff * fibLvl2);
def fibval3 = switchVal + (diff * fibLvl3);

            ### My attempt at Fib extention lines ###

                                ##### First FIB level ###
plot fibTgtPt1 = if change then fibVal1 else double.NaN;
fibTgtPt1.SetPaintingStrategy(PaintingStrategy.POINTS);
fibTgtPt1.SetLineWeight(3);
fibTgtPt1.SetDefaultColor(Color.ORANGE);

plot fibTgt1 = if (state == state.long) and (fibVal1 > trail) then fibVal1 else if (state == state.short) and (fibVal1 < trail) then fibVal1 else double.NaN;
fibTgt1.SetPaintingStrategy(PaintingStrategy.DASHES);
fibTgt1.SetDefaultColor(Color.ORANGE);

                                  ### second FIB level ###
plot fibTgtPt2 = if change then fibVal2 else double.NaN;
fibTgtPt2.SetPaintingStrategy(PaintingStrategy.POINTS);
fibTgtPt2.SetLineWeight(3);
fibTgtPt2.SetDefaultColor(Color.ORANGE);

plot fibTgt2 = if (state == state.long) and (fibVal2 > trail) then fibVal2 else if (state == state.short) and (fibVal2 < trail) then fibVal2 else double.NaN;
fibTgt2.SetPaintingStrategy(PaintingStrategy.DASHES);
fibTgt2.SetDefaultColor(Color.ORANGE);

                                    #### Third FIB level ####
plot fibTgtPt3 = if change then fibVal3 else double.NaN;
fibTgtPt3.SetPaintingStrategy(PaintingStrategy.POINTS);
fibTgtPt3.SetLineWeight(3);
fibTgtPt3.SetDefaultColor(Color.ORANGE);

plot fibTgt3 = if (state == state.long) and (fibVal3 > trail) then fibVal3 else if (state == state.short) and (fibVal3 < trail) then fibVal3 else double.NaN;
fibTgt3.SetPaintingStrategy(PaintingStrategy.DASHES);
fibTgt3.SetDefaultColor(Color.ORANGE);

 

[Inspir]

@Sirrous This is exactly what i was trying to achieve, Thank you!

 

[Zara2]

Is it possible to use this ATR trailing stop on a strategy's entry signals, instead of its own Long/Short signals? For example after a simple Bollinger Band strategy enters long or short, ATR trailing the rest until the trail is hit?

def LB = Average(close, 20) - 2 * stdev(close, 20);
def UB = Average(close, 20) + 2 * stdev(close, 20);
def longCond = close crosses above LB and high[-1] >= LB;
def shortCond = close crosses below UB and low[-1] <= UB;

addOrder(OrderType.BUY_AUTO, longCond, Max(open[-1], LB), tickColor = GetColor(0), arrowColor = GetColor(0));

addOrder(OrderType.SELL_AUTO, shortCond, Min(open[-1], UB), tickColor = GetColor(9), arrowColor = GetColor(9));

How do you combine these two?

 

[barbaros]

If you were to use this intraday, what time frame and parameters do you recommend?

 

[Inspir]

@Zara2 I do not know how to do that yet, sorry. Although, I have been meaning to try to come up with a script that would plot an atrtrail from a pivot high or pivot low, and I would guess that it wouldn't be hard to convert a script like that into what you want. So, if i make any progress on that I will update and post it here.

 

[Sirrous]

Personally I like it on a 10 or 20m chart, 5m is ok but a lot of chop.

 

[Inspir]

@barbaros

I have been testing quite a bit with different time frames and parameters, and it seems that longer parameters maybe are better (Period=28, Factor=10.0; P=28, F=5; P=30, F=8.0) than shorter ones(P=5, F=3.5). Regarding time frames, I have been trying to use tick, range, and renko charts because I think they are more precise than time based charts. I also have been using the fib levels as areas where I can move up my stop, putting the stop slightly behind a level if long.

 

[samoya]

Is it possible to arrange

• 75% of an ATR 5 Trailing Stop from a DAILY timeframe
• and use that Tick charts or lower timeframes?

Maybe somebody can help me with that question.

thanks a lot