Trailing Stop Loss on %

[lmiller251]

Hey All,

I saw some posts from a few years ago that talked about adding a feature for calculating trailing stops based on %. I cant find much commentary on how to utilize this feature. Was it ever added and am I just overlooking prior discussions? Appreciate anyone pointing me in the right direction.

Thanks for creating and maintaining all of this.

[mblacklock]

Hi,

The following applies a 25% trailing stop to all open trades. For every bar, it sets the stop as the maximum of the existing stop and 75% of the last close.

def next(self):
   price = self.data.Close[-1] 
   if self.position:      
      for trade in self.trades:
          trade.sl = max(trade.sl, price * .75) 

Is this what you mean?

[lmiller251]

Thanks for the response. So i coded this in with an inital sl = 2% (price*.98), and then I changed your example to a trailing 2% stop loss (trade.sl = max(trade.sl, price * .98) and that is exiting trades at a 2% loss, even if that price never hit. Have you ever had this error? Larger code below for reference.

start_price = self.data.Close[-1]
if self.sma < current_price * .99:
self.buy(size=.99, sl = start_price*.98)

price = self.data.Close[-1]
if self.position:
for trade in self.trades:
trade.sl = max(trade.sl, price * .98)

[mblacklock]

I think self.sma should be a series, so you want to take a specific value, e.g. self.sma[-1] will take the current bar.

Is current_price defined elsewhere in your code or is it the same as price and start_price?

size = .99 would take 99% of your current (available or total?) equity. I would either set it to size=1 for one share (if you want multiple positions) or leave it blank to use all your equity (all-in).

Having the buy block outside of the if self.position block will mean that your code tries to place a buy order every bar that the sma is less than the (current price x 0.99). If you want it to only buy if there is no existing position, use this:

price = self.data.Close[-1]
sma = self.sma[-1]

if self.position:
    for trade in self.trades:
        trade.sl = max(trade.sl, price * .98)

elif sma < price * .99:
    self.buy(sl = price*.98)

The code above will enter a buy signal if there is no existing position and the (current price x 0.99) is above the SMA. Once a position exists, there will be a 2% trailing stop.

Not sure anything of what I have said will help with positions exiting at a price that has not been met. That shouldn't be possible.

[lmiller251]

That helps clarify the trailing. I am writing this for a short strategy as well, can you advise what exactly the price *.98 in the trade.sl is doing? Would that not act the same as a take profit essentially? my understanding is that this would set the stop loss at 2% below the previous days closing price (ie. a take profit). The reason I ask is I inadvertently inserted that number and it is skewing my results (in a positive way) but I want to understand what it is doing. Appreciate the help.

price = self.data.Close[-1]
if self.position.is_short:
            for trade in self.trades:
                trade.sl = min(trade.entry_price * 1.02, price * .98)
                trade.tp = trade.entry_price * .98

[mblacklock]

for a long trade, to set new values: sl < price < tp
for a short trade, sl > price > tp

In your code, you are updating the stop based on the minimum of the entry * 1.02 (this will not change) and the current price * 0.98. This doesn't make sense to me. Similarly, you are updating the take profit based on the entry, so this value will not change.

I think you want:

if self.position.is_short:
    for trade in self.trades:
        trade.sl = min(trade.sl, price * 1.02) #sets a 2% trailing stop