Average True Range Trailing Stops Strategy, by Sylvain Vervoort
The related article is copyrighted material from Stocks & Commodities Jun 2009
The related article is copyrighted material from Stocks & Commodities Jun 2009
//////////////////////////////////////////////////////////// // Copyright by HPotter v1.0 16/09/2014 // Average True Range Trailing Stops Strategy, by Sylvain Vervoort // The related article is copyrighted material from Stocks & Commodities Jun 2009 //////////////////////////////////////////////////////////// study(title="Average True Range Trailing Stops Strategy, by Sylvain Vervoort", overlay = true) nATRPeriod = input(5) nATRMultip = input(3.5) xATR = atr(nATRPeriod) nLoss = nATRMultip * xATR xATRTrailingStop = iff(close > nz(xATRTrailingStop[1], 0) and close[1] > nz(xATRTrailingStop[1], 0), max(nz(xATRTrailingStop[1]), close - nLoss), iff(close < nz(xATRTrailingStop[1], 0) and close[1] < nz(xATRTrailingStop[1], 0), min(nz(xATRTrailingStop[1]), close + nLoss), iff(close > nz(xATRTrailingStop[1], 0), close - nLoss, close + nLoss))) pos = iff(close[1] < nz(xATRTrailingStop[1], 0) and close > nz(xATRTrailingStop[1], 0), 1, iff(close[1] > nz(xATRTrailingStop[1], 0) and close < nz(xATRTrailingStop[1], 0), -1, nz(pos[1], 0))) barcolor(pos == -1 ? red: pos == 1 ? green : blue ) plot(xATRTrailingStop, color=red, title="ATR Trailing Stop")