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OmniTrader 2014 Technical Support
Trailing stop loss
Last Activity 10/7/2017 1:07 AM
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BWH

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Subject : Trailing stop loss
Posted : 1/6/2015 6:33 PM
Post #35050

As I understand it a 14 period ATR stop loss is calculated back 14 bars from the current bar and plots x ATR below the highest close.

Why is a different result obtained with a different starting position as illustrated in the attached file, both stops settings are the same.

Attached file : BHP.PNG (48KB - 127 downloads)

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Jim Dean

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Subject : RE: Trailing stop loss
Posted : 1/6/2015 7:12 PM
Post #35051 - In reply to #35050

Simple answer: the reason is that the way the stop works is much more complex than the explanation you provided.

Some specifics:

1. ATR is not based on the prior 14 bars only. It is based on Wilder's Smoothing, which is essentially a "slow EMA" ... and which uses an "infinite" series of bars that have exponentially reduced impact as you move farther back in time. Think of the 14 as a "slider control" rather than a specific number of bars. Wilder's-14 smoothing is roughly equivalent to EMA-30 smoothing.

2. OT's trailing profit stop is not based on the highest close, but rather (and somewhat oddly) on the highest of the lows.

3. The ATR "gap" differs depending on where the starting point of the trade is ... and that affects both the profit threshold (when the trailing logic kicks in), and the stop-gap-spacing itself.

Hopefully that will give you a better feeling for what's going on. It may be that I've not understood your question ... the snapshot was not sufficiently annotated for me to really understand what you are comparing, or what you "expected" to happen.
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BWH

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Subject : RE: Trailing stop loss
Posted : 1/11/2015 7:18 PM
Post #35068 - In reply to #35050

Thank you for that Jim
It makes more sense now
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