Trade parameters 1 - entry and exit limits
Enter the trade only when the price reaches a certain value at the next bar (default = 0 = enter at market). The value can be given either directly as an Ask price, or as a distance to the current close price. A positive price or distance constitutes an entry stop, a negative price or distance an entry limit. An entry limit buys when the price moves against the trade direction and reaches or crosses the limit. It increases the profit as it buys at a price that went in opposite direction to the trade. An entry stop buys when the price moves in trade direction and reaches or crosses the limit; it reduces the profit, but enters only when the price moved in favorable direction, and thus acts as an additional trade filter.
For a long trade, an entry limit must be below and an entry stop must be above the current price. If the entry price is not reached within the allowed time period (set through EntryTime), the trade is cancelled and a "Missed Entry" message is printed to the log file.
Send a limit order at the given limit price, instead of a market order, to the broker at the next enterLong
or enterShort call. This is different to an
Entry limit. It does not produce a pending trade, but cancels the order
if it is not filled within a few seconds, dependent on broker API. If the broker
API supports limit orders, this guarantees a fill price at or better than the
limit. The price limit must be the real limit, i.e. an ask price for
enterLong and a bid price for enterShort. Unlike
normal orders, not filling a limit order does not produce a "Can't open trade"
error message in the log.
OrderLimit can be used in a tick function for filling an order at the best price within a certain time period when the precise time of entry or exit does not matter.
Has only an effect in [Trade] mode and only when the SET_LIMIT command is supported by the broker API.
Stop loss value or stop loss distance in price units (default = 0 = no stop loss). The trade is closed when the price reaches the limit resp. the trade loss reaches the distance. A good value for Stop is derived from the ATR, f.i. 3*ATR(20). Setting a stop loss is recommended for risk control.
Stop loss distance sent to the broker to act as a 'safety net' in case of a computer crash, in relation to the real stop loss. At the default value 1.5 the stop sent to the broker is 50% more distant, thus preventing 'stop hunting' or similar broker practices. At 0, or if the NFA flag is set, the stop loss is only controlled by software; at 1.0 the broker stop is identical to the real stop.
If StopFactor is set to a negative value or if a BrokerStop function is not available in the broker plugin, the broker stop is only placed at opening the trade, but not updated afterwards. StopFactor has no effect on pool trades in Virtual Hedging Mode.
Broker stop loss distance for pool trades in Virtual Hedging Mode. At the default value
0.3 any pool trade sends a stop to the broker at 30% distance from the
initial price (non-NFA mode only). When set to
0, pool trades have no stop loss.
Profit target value or profit target distance in price units (default = 0 = no profit target). The trade is closed when the trade profit has reached this amount.
A profit target takes profits early, which increases the number of winning trades, but normally reduces the overall profit of a strategy. It is preferable to use TrailLock instead of setting a profit target.
Raise the stop loss value as soon as the price reaches the given value, resp. goes in favorable direction by the given distance in price units (default = 0 = no trailing). Has only an effect when a Stop is set. The stop loss is increased in a long position, and decreased in a short position so that it normally follows the price at the distance given by the sum of the Stop and Trail distance . A slower or faster 'movement speed' of the stop loss can be set through TrailSlope.
Trailing 'speed' in percent of the asset price change (default = 100%); has only an effect when Stop and Trail are set and the profit is above the trail distance. Example: The asset price of a long position goes up by 10 pips. TrailSlope = 50 would then raise the stop loss by 5 pips. TrailSlope = 200 would raise the stop loss by 20 pips.
'Locks' a percentage of the profit (default = 0 = no profit locking); has only an effect when Stop and Trail are set and the price has exceeded the trail distance. A stop loss is then automatically placed at the given percentage of the current price excursion. Example: A long position is currently in profit by 20 pips above the entry price. TrailLock = 80 would then place the stop loss at 16 pips above entry, thus locking 80% of the profit (without trading costs). TrailLock = 1 (or any small number) would set the stop loss at the entry price when the current price reaches the Trail value. Using TrailLock is in most cases preferable to setting a profit target.
Automatically raise the stop loss every bar by a percentage of the difference between current asset price and current stop loss (default = 0 = no automatic trailing); has only an effect when Stop and Trail are set and the profit is above the trail distance. Example: A long position has a stop at USD 0.98 and the price is currently at USD 1.01. TrailStep = 10 will increase the stop loss by 0.003 (30 pips) at the next bar. TrailStep reduces the trade time dependent on the profit situation, and is often preferable to a fixed exit time with ExitTime.
Stopping and restarting a strategy counts as a step and will raise the stop loss
as if a bar had passed.
Speed factor for faster raising the stop loss before break even, in percent (default = 100%). Has only an effect when Stop and Trail are set and the profit is above the trail distance. Example: TrailSpeed = 300 will trail the stop loss with triple speed until the entry price plus spread is reached, then continue trailing with normal speed given by TrailSlope and TrailStep. Has no effect on TrailLock. This parameter can prevent that a winning trade with a slow rising stop turns into a loser.
- All parameters above must be set after selecting the asset and before calling enterLong / enterShort. They have no effect on different assets or on already entered trades. For changing a stop or profit target of a particular trade after it has already been opened, use either a TMF, or call exit with the new price limit (see example).
- Except for OrderLimit, all prices are Ask prices, regardless of whether they are intended for entry or exit, or for a long or a short trade. A trade is opened or closed when the Ask price reaches the given target. Zorro automatically handles the conversion from Ask to Bid: long trades are filled at the Ask price and closed at the Bid price, short trades are filled at the Bid price and closed at the Ask price. The Bid price is the Ask price minus the Spread.
- Either an (absolute) price, or a (relative) distance to the trade opening price (TradePriceOpen) can be used for Stop, TakeProfit, Trail, and Entry. If the value is less than half the asset price, Zorro assumes that it's a distance, otherwise it's a price. the For an entry limit the given price must be negative; "buy at 10 pips below the current Low" is in code: Entry = -(priceLow()-10*PIP);. If Stop or TakeProfit are at the wrong side of the price, no trade is entered, but a "Skipped" message is printed in the log file.
- Some brokers reject limit orders when OrderLimit is too
close to the current price. Some brokers (f.i. MT4) open a pending order
instead of a limit order. It is not recommended to use OrderLimit
when limit orders are not properly supported by the broker.
- For options, Stop, TakeProfit, Trail, and Entry refer to the contract value, not to the underlying asset, and must always be given as an absolute price.
- For setting prices or distances in pip units, multiply the pip amount with the PIP variable (f.i. Stop = 5*PIP;). For adapting distances to the price volatility, set them not to fixed pip values, but use a multiple of ATR(..) - this often improves the performance.
- In the simulation, Stop has higher priority than TakeProfit. This leads to a pessimistic result when Stop and Takeprofit are triggered by the same bar. Use TICKS mode for better precision when Entry, TakeProfit, or Stop are used at the same time in test mode. Use TICKS always when the trade profit largely depends on entry and exit limits and/or the trade duration is short, like only a few bars.
- When absolute price limits are given for Trail, TakeProfit, Entry, or Stop, they should be at the correct side of the current market price with sufficient distance. Limits at the wrong side of the price are accepted, but cause unfavorable trades. When the Entry condition is already met at entering (f.i. a long trade is entered with the market price already below the entry limit), the trade will be opened immediately at either the market price or the entry price, whatever is worse. When the Stop limit is already met at entering, the trade will be opened and immediately closed, losing slippage and spread. When during the trade the Stop is moved inside the price range of the current bar or tick, the trade will be immediately closed. If a trade lasts only one or a few ticks, the result by stop or trailing can become inaccurate by a large factor due to the limited resolution of the price history.
- TrailSlope, TrailStep, and TrailLock can be set simultaneously. The stop loss is raised by all of them. If a more complex stop loss / take profit behavior is required than provided by the trail parameters, use a TMF. The TMF runs at every price quote - resp. every tick - and can trail and check stop and profit limits.
- All stop, profit, trail, or entry limits are handled by software and controlled at each tick. They are not sent to the broker's server (except for the 'safety net' stop given by StopFactor) and thus not visible to the broker, this way preventing "stop hunting" or similar practices. This also steps around NFA Compliance Rule 2-43(b) that does not allow US citizens to place stop or profit targets.
- Except for Forex trading, it is normally not recommended to set Stop and other limits in PIP units. PIP sizes can vary from broker to broker and even with the same broker from platform to platform.
- A stop loss - regardless if it is handled by software or sent to the broker - is no guarantee to limit losses. In the case of price shocks (such as the EUR/CHF price cap removal in January 2015) trades can sometimes not be closed at the stop loss limit. The loss of the trade can then be remarkably higher.
- Stop limits updated to the broker can appear to temporarily move in 'wrong' direction by a small distance. This can happen when the spread changes at the same time, but in opposite direction as the price.
- When Zorro runs unobserved, stop loss limits should always be used, even when they appear to reduce the strategy performance. They protect against price shocks. The trade engine also uses them for calculating the risk per trade; without a stop, the capital exposure is not available and the performance statistics are less precise.
- The win rate ("accuracy") of a system mostly depends on the Stop/Takeprofit ratio (also called risk/reward ratio).
Stop = 0.01*priceClose(); // set stop at 1% distance
bar, enterLong/Short, exitLong/Short, EntryTime, ExitTime, Lots, TMF
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