I've been experimenting with the "Sell at Trailing Stop" MFE% option provided by the PowerPack design block, and have found it to be quite effective. It got me thinking about the inverse: "Sell at Trailing Limit" based on MAE%. Some testing in a coded strategy has found it to be a useful type of exit. Is there any chance we could get that incorporated into PowerPack?
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I don't understand. My broker, Fidelity, doesn't even support a trailing Limit order. Does yours?
And what would be the purpose of such an order? Are you concerned about "inadvertently" making a win-fall profit? (I wish I had that problem.)
And what would be the purpose of such an order? Are you concerned about "inadvertently" making a win-fall profit? (I wish I had that problem.)
I might be confused. I essentially just want to have a Limit price that can adjust downwards when it encounters sufficiently bad drops. It would just be recalculated at the end of each bar.
In other words, if our position had a MAE% of 2%, then we can start moving our limit order downwards to be more realistic about how much of a turnaround in price we're likely to see.
In other words, if our position had a MAE% of 2%, then we can start moving our limit order downwards to be more realistic about how much of a turnaround in price we're likely to see.
QUOTE:
I might be confused. I essentially just want to have a Limit price that can adjust downwards when it encounters sufficiently bad drops.
The idea is not to adjust downwards when the price drops, but to sell the loosing position instead, which is what the trailing stop loss order does. You either want to adjust upwards, or if the price drops, get out of the position altogether.
Trailing stops are often set by a multiple of the ATR, but this may not be the best way. I've been examining alternative approaches, but the statistics behind them is challenging and may require an N>15 trades. :( With the ATR approach, you don't need any trades at all, but then you aren't modeling the "temporary slippage" (approximately the Max[MFE,MAE]) of the active position itself, so you're not really modeling the right thing.
@mdosey's is looking to change the target, not the stop. The idea is to accept less profit as long as you don't stop out first.
It's akin to what the famous "Carlos mod" did for Guy's version of OPPW. Instead of maintaining a 7% profit target, it changes to either 2.5% or -1.5% — dependent on the current negative profit percentage. It had a significant positive impact on the strategy results.
Seems like a profit strategy worthy of mocking up and investigating. Let's make it a feature request.
It's akin to what the famous "Carlos mod" did for Guy's version of OPPW. Instead of maintaining a 7% profit target, it changes to either 2.5% or -1.5% — dependent on the current negative profit percentage. It had a significant positive impact on the strategy results.
Seems like a profit strategy worthy of mocking up and investigating. Let's make it a feature request.
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Seems like a profit strategy worthy of ... investigating.
But if your broker doesn't support such an order, then what good is having it?
Are you suggesting this isn't a PlaceTrade kind of OrderType? If so, then what is it? What does this look like on the broker's side?
WealthLab doesn't rely on any broker for changing order prices. This is always performed by the Strategy. The idea to just change the Limit price, nothing more.
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