Double Trailing ATR indicator

[TMac]

I would like to create a strategy using two ATR straining stops and a moving average. Essentially, there would be and ATR trailing stop plotted with one period and some multiplier and then a second one that has a different period and multiplier. Finally, a moving average would be added to determine trend.

The idea is to only take trades when all three agree.
Example: Moving average slope is positive = go long
14 period 3.5 ATR trailing stop state == state.long
7 period 1.75 ATR trailing stop state == state.long
exit when price hits fast period ATR trail. etc


Ideally I would like this to be a strategy that closes positions by the end of day and does not allow positions to be opened during the first or last 30 min of trading session.

Any help is greatly appreciated!

 

[halcyonguy]

I would like to create a strategy using two ATR straining stops and a moving average. Essentially, there would be and ATR trailing stop plotted with one period and some multiplier and then a second one that has a different period and multiplier. Finally, a moving average would be added to determine trend.

The idea is to only take trades when all three agree.
Example: Moving average slope is positive = go long
14 period 3.5 ATR trailing stop state == state.long
7 period 1.75 ATR trailing stop state == state.long
exit when price hits fast period ATR trail. etc

this calculates 2 atr trailing stops and an average, and draws them.
this calls the function. i didn't copy all of the original code. so there is no state variable.
it determines 'long' when close > an atr line.
it draws green arrows when both ATRs are < close and the average is moving up.

# double_atr_trailstop_02

# https://usethinkscript.com/threads/double-trailing-atr-indicator.12237/
# The idea is to only take trades when all three agree.

# buy
# Example: Moving average slope is positive = go long
# 14 period 3.5 ATR trailing stop state == state.long
#  7 period 1.75 ATR trailing stop state == state.long

# sell
# exit when price hits fast period ATR trail. etc


#-----------------------

# atr1
# 14 period 3.5 ATR trailing stop state == state.long
input trailType1 = {default modified, unmodified};
input ATRPeriod1 = 14;
input ATRFactor1 = 3.5;
input firstTrade1 = {default long, short};
input averageType1 = AverageType.WILDERS;

def trail1 = ATRTrailingStop(
trail_type =  trailType1,
atr_period = ATRPeriod1,
atr_factor = ATRFactor1,
first_trade  = firstTrade1,
average_type = averageType1
);

def istrail1_long = (trail1 < close);

plot z1 = trail1;
z1.setdefaultcolor(color.yellow);

#---------------------------

# atr2
#  7 period 1.75 ATR trailing stop state == state.long
input trailType2 = {default modified, unmodified};
input ATRPeriod2 = 7;
input ATRFactor2 = 1.75;
input firstTrade2 = {default long, short};
input averageType2 = AverageType.WILDERS;

def trail2 = ATRTrailingStop(
trail_type =  trailType2,
atr_period = ATRPeriod2,
atr_factor = ATRFactor2,
first_trade  = firstTrade2,
average_type = averageType2
);

def istrail2_long = (trail2 < close);

plot z2 = trail2;
z2.setdefaultcolor(color.cyan);

#------------------------------

# avg
input MA1_len = 9;
input MA1_type =  AverageType.EXPONENTIAL;
def price = close;

def ma1 = MovingAverage(ma1_type, price, ma1_len);

def ismaup = ( ma1 > ma1[1] );

plot zma = ma1;
z2.setdefaultcolor(color.magenta);
z2.SetStyle(Curve.MEDIUM_DASH);

# -----------------------------

def xlong = istrail1_long and istrail2_long and ismaup;
def xshort = close crosses trail2;

plot buy1 = xlong;
buy1.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_UP);
buy1.SetDefaultColor(Color.green);
buy1.setlineweight(3);
buy1.hidebubble();

plot sell1 = xshort;
sell1.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_DOWN);
sell1.SetDefaultColor(Color.red);
sell1.setlineweight(3);
sell1.hidebubble();
#
#------------------------------
addchartbubble(0, low*0.99,
 istrail1_long + "\n" +
 istrail2_long + "\n" +
 ismaup
, color.yellow, no);
#
#

 

[TMac]

this calculates 2 atr trailing stops and an average, and draws them.
this calls the function. i didn't copy all of the original code. so there is no state variable.
it determines 'long' when close > an atr line.
it draws green arrows when both ATRs are < close and the average is moving up.

# double_atr_trailstop_02

# https://usethinkscript.com/threads/double-trailing-atr-indicator.12237/
# The idea is to only take trades when all three agree.

# buy
# Example: Moving average slope is positive = go long
# 14 period 3.5 ATR trailing stop state == state.long
#  7 period 1.75 ATR trailing stop state == state.long

# sell
# exit when price hits fast period ATR trail. etc


#-----------------------

# atr1
# 14 period 3.5 ATR trailing stop state == state.long
input trailType1 = {default modified, unmodified};
input ATRPeriod1 = 14;
input ATRFactor1 = 3.5;
input firstTrade1 = {default long, short};
input averageType1 = AverageType.WILDERS;

def trail1 = ATRTrailingStop(
trail_type =  trailType1,
atr_period = ATRPeriod1,
atr_factor = ATRFactor1,
first_trade  = firstTrade1,
average_type = averageType1
);

def istrail1_long = (trail1 < close);

plot z1 = trail1;
z1.setdefaultcolor(color.yellow);

#---------------------------

# atr2
#  7 period 1.75 ATR trailing stop state == state.long
input trailType2 = {default modified, unmodified};
input ATRPeriod2 = 7;
input ATRFactor2 = 1.75;
input firstTrade2 = {default long, short};
input averageType2 = AverageType.WILDERS;

def trail2 = ATRTrailingStop(
trail_type =  trailType2,
atr_period = ATRPeriod2,
atr_factor = ATRFactor2,
first_trade  = firstTrade2,
average_type = averageType2
);

def istrail2_long = (trail2 < close);

plot z2 = trail2;
z2.setdefaultcolor(color.cyan);

#------------------------------

# avg
input MA1_len = 9;
input MA1_type =  AverageType.EXPONENTIAL;
def price = close;

def ma1 = MovingAverage(ma1_type, price, ma1_len);

def ismaup = ( ma1 > ma1[1] );

plot zma = ma1;
z2.setdefaultcolor(color.magenta);
z2.SetStyle(Curve.MEDIUM_DASH);

# -----------------------------

def xlong = istrail1_long and istrail2_long and ismaup;
def xshort = close crosses trail2;

plot buy1 = xlong;
buy1.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_UP);
buy1.SetDefaultColor(Color.green);
buy1.setlineweight(3);
buy1.hidebubble();

plot sell1 = xshort;
sell1.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_DOWN);
sell1.SetDefaultColor(Color.red);
sell1.setlineweight(3);
sell1.hidebubble();
#
#------------------------------
addchartbubble(0, low*0.99,
 istrail1_long + "\n" +
 istrail2_long + "\n" +
 ismaup
, color.yellow, no);
#
#

This is awesome! Thank you.