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ATR Trailing With Position Sizing


ATR Trailing With Position Sizing
ATR Trailing With Position Sizing

//www.aflcode.com
PctVlt=(ATR(14)/C)*100;//PercentVolatility 

PK=IIf(PctVlt<0.5,Peak(Close,0.5,1), 
IIf( PctVlt>=0.5 AND PctVlt< 1.0 ,Peak(Close,0.70,1), 
IIf( PctVlt>=1.0 AND PctVlt< 1.5 ,Peak(Close,0.90,1), 
IIf( PctVlt>=1.5 AND PctVlt< 2.0 ,Peak(Close,1.10,1), 
IIf( PctVlt>=2.0 AND PctVlt< 2.5 ,Peak(Close,1.30,1), 
IIf( PctVlt>=2.5 AND PctVlt< 3.0 ,Peak(Close,1.50,1), 
IIf( PctVlt>=3.0 AND PctVlt< 3.5 ,Peak(Close,1.70,1), 
IIf( PctVlt>=3.5 AND PctVlt< 4.0 ,Peak(Close,2.00,1), 
Peak(Close,2.20,1) )))))))); 

TGH=IIf(PctVlt<0.5,Trough(Close,0.5,1), 
IIf( PctVlt>=0.5 AND PctVlt< 1.0 ,Trough(Close,0.75,1), 
IIf( PctVlt>=1.0 AND PctVlt< 1.5 ,Trough(Close,1.00,1), 
IIf( PctVlt>=1.5 AND PctVlt< 2.0 ,Trough(Close,1.25,1), 
IIf( PctVlt>=2.0 AND PctVlt< 2.5 ,Trough(Close,1.50,1), 
IIf( PctVlt>=2.5 AND PctVlt< 3.0 ,Trough(Close,1.75,1), 
IIf( PctVlt>=3.0 AND PctVlt< 3.5 ,Trough(Close,2.00,1), 
IIf( PctVlt>=3.5 AND PctVlt< 4.0 ,Trough(Close,2.25,1), 
Trough(Close,2.50,1) )))))))); 

Sens=IIf(PctVlt<0.5,0.5, 
IIf( PctVlt>=0.5 AND PctVlt< 1.0 ,0.75, 
IIf( PctVlt>=1.0 AND PctVlt< 1.5 ,1.00, 
IIf( PctVlt>=1.5 AND PctVlt< 2.0 ,1.25, 
IIf( PctVlt>=2.0 AND PctVlt< 2.5 ,1.50, 
IIf( PctVlt>=2.5 AND PctVlt< 3.0 ,1.75, 
IIf( PctVlt>=3.0 AND PctVlt< 3.5 ,2.00, 
IIf( PctVlt>=3.5 AND PctVlt< 4.0 ,2.25, 
2.50 )))))))); 


Color=IIf(BarsSince(Cross(C,Ref(PK,-1)))<BarsSince(Cross(Ref(TGH,-1),C)),colorBrightGreen,colorRed); 

Plot(C,"",Color,styleCandle); 
PlotShapes( Cross(C,Ref(PK,-1))*shapeUpArrow,colorYellow,0,L); 
PlotShapes( Cross(Ref(TGH,-1),C)*shapeDownArrow,colorPink,0,H); 
PlotShapes( Cross(70,RSI(14))*shapeDownArrow,colorWhite,0,H,Offset=-28 ); 

///// Trailing Stop Module ///// 

P6=Param("Trailing Stop Risk",2.5,2,3.5,0.1); 
P7=Param("Trailing Stop LookBack",14,5,25,1); 
P8=Param("Trailing Stop PrevLow Switch",0,0,1,1); 
PrevLow=IIf(P8==1, Ref(C,-TroughBars(C,5,1)) ,Null); 
Plot(PrevLow,"",colorRed); 

//Position sizing// 
MyTotalPort = Param("MyTotalPort",1000000,10000,10000000,100000); 
AcceptableRisk = Param("AcceptableRisk",0.5,0.1,3,0.1); 
BarsFromStart = BarsSince(Cross(C,Ref(PK,-1))AND Ref(Color,-1)==colorRed) ; 
InitialStopLoss =Ref( H - P6*ATR(P7),-BarsFromStart); 
PositionSizing = 0.01*AcceptableRisk*MyTotalPort/( C - InitialStopLoss ); 

Plot(IIf( HHV(H - P6*ATR(P7),BarsFromStart+1) <C ,HHV(H - P6*ATR(P7),BarsFromStart+1),Null) ,"",colorBlue,1); 
PlotShapes(shapeDownArrow*Cross(Ref(HHV(H - P6*ATR(P7),BarsFromStart+1),-1),C),colorBlue,0,H,Offset=-43); 
Title=Name()+" "+Date()+" "+EncodeColor(colorYellow)+""+" ( Sens ="+Sens+")"+EncodeColor(colorBrown)+" Vol="+NumToStr(Volume ,1.2)+" "+EncodeColor(10)+"Position Sizing ( " +AcceptableRisk+ "% Risk ) = " + WriteIf(color==colorBrightGreen,NumToStr(PositionSizing ,1.0),"0")+ 
EncodeColor(colorBlue)+"\nO="+O+EncodeColor(colorPink)+" Pk-Tgh Exit"+EncodeColor(colorBlue)+" ATR Trailing Exit"+EncodeColor(colorWhite)+" RSI Exit"+EncodeColor(colorBlack)+" ADX = "+ADX()+EncodeColor(colorBlue)+"\nH="+H+"\nL="+L+"\nClose="+ C+""+"\nchange= "+NumToStr((Ref(C,-1)-Close) ,1.2) + 
" "; 
GraphXSpace=3; 

Buy=Cross(C,Ref(PK,-1)); 
Sell=Cross(Ref(TGH,-1),C);

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