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 Sierra Chart Triggered Trailing Stop
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#1
02-12-2011, 09:24 AM
 User Account Join Date: May 2007 Posts: 474
Triggered Trailing Stop

1) I think the help page explaining this stop is wrong. Some sections of the text seem to have been pasted from pages explaining other types of stops and not updated.

Here is the original help page: http://www.sierrachart.com/index.php...edTrailingStop

The section marked in green looks correct, the sections marked in red are wrong:

http://img507.imageshack.us/img507/5...2011034829.png

Here is how I understand this stop works (I can't test it because the markets are closed):

- let's assume that tick size = 1
- we are long at the price of 100

- stop offset = 6
- trigger offset = 7

http://img263.imageshack.us/img263/2...2011040053.png

a) the initial hard stop is placed at 94 (100 - 6) and it won't move until the trigger price is hit, it is NOT a trailing stop.

b) the trigger price is 107 (100 + 7)

c) when the trigger price of 107 is hit, the hard stop will be moved from 94 to 101 (107 - 6) and becomes a trailing stop with the trailing offset of 6. So if the price then moves to 108 the stop trails it to 102, etc.

d) if, before the trigger price of 107 has been hit, you move the initial hard stop from 94 to 95, it will have the following effect:

- the initial hard stop will be placed at 95
- the stop offset will be changed from 6 to 5 (100 - 95)
- the trigger price will still be 107
- when the trigger price gets hit, the hard stop will move from 95 to 102 (107 - 5), and will become a trailing stop with the trailing offset of 5. So if the price then moves to 108 the stop will trail it to 103, etc.

Last edited by Lesmond; 02-16-2011 at 09:27 AM.
#2
02-12-2011, 07:58 PM
 User Account Join Date: Nov 2008 Posts: 1,680
Re: Triggered Trailing Stop

Quote:
 Originally Posted by Lesmond 1) Here is how I understand this stop works (I can't test it because the markets are closed): - let's assume that tick size = 1 - we are long at the price of 100 - stop offset = 6 - trigger offset = 7 a) the initial hard stop is placed at 94 (100 - 6) and it won't move until the trigger price is hit, it is NOT a trailing stop. b) the trigger price is 107 (100 + 7) c) when the trigger price of 107 is hit, the hard stop is moved from 94 to 101 (107 - 6) and becomes a trailing stop with the trailing offset of 6. So if the price then moves to 108 the stop trails it to 102, etc.
That is exactly how it works. I think the documentation text is referring to the upper Trade Window's boxes, not the lower Attached Orders section. The confusion is that they are both "attached orders". Maybe the lower section should be called "Automated Attached Orders".

You can test it using Replay when the market is closed, if you have historical data.
__________________
Sierra Chart user, not SC Support, SC v1025/CLR pkg5, WinXP-32 SP3, DDT/TT FIX

Last edited by tomgilb; 02-13-2011 at 05:45 AM.
#3
02-14-2011, 12:51 PM
 User Account Join Date: May 2007 Posts: 474
Re: Triggered Trailing Stop

Thanks. I have actually tested this on the live data and the stop works as expected in the first post. However, I can see some inconsistencies after you modify the Initial Hard Stop (before the Trigger Price has been hit), at least when you move it with a mouse in the DOM Mode:

a) with a long position, the Trigger Price will move in the direction of hard stop adjustment and by the same amount.

b) with a short position, the Trigger Price will not change.

I didn't have time to test all possible combinations, which would include adjusting the Hard Stop up, down, in an open long position, open short position, and then looking what happens to Trigger Price and the first Trailing Stop Price.

This is not really that important because it happens only after you modify the Hard Stop, in which case you are watching the screen and will most likely be doing more manual adjustments anyway. I will do some more testing in the next few days and revive this post.
#4
02-14-2011, 06:09 PM
 User Account Join Date: Nov 2008 Posts: 1,680
Re: Triggered Trailing Stop

Quote:
 Originally Posted by Lesmond Thanks. I have actually tested this on the live data and the stop works as expected in the first post. However, I can see some inconsistencies after you modify the Initial Hard Stop (before the Trigger Price has been hit), at least when you move it with a mouse in the DOM Mode: a) with a long position, the Trigger Price will move in the direction of hard stop adjustment and by the same amount. b) with a short position, the Trigger Price will not change.
If you move the initial stop it will change the stop offset from that time forward, but in my tests the trigger price doesn't change, long or short.

There is some disagreement, among traders and platforms, whether the initial stop offset of a trailing stop should be changed to the new offset if the stop is manually moved. If you manually move a trailing stop in Ninja, the initial trailing stop offset remains, but in Sierra it is updated to the new offset.

__________________
Sierra Chart user, not SC Support, SC v1025/CLR pkg5, WinXP-32 SP3, DDT/TT FIX
#5
02-16-2011, 08:27 AM
 User Account Join Date: May 2007 Posts: 474
Re: Triggered Trailing Stop

I have done more testing. I often get inconsistent Trigger Price and Trailing Stop under the following conditions:

a) in a long position, the initial sell stop is moved lower.
b) in a short position, the initial buy stop is moved higher.

Under any other scenarios both Trigger Price and the Trailing Stop usually follow expected path. The best results are obtained when the initial hard stop is not moved at all. I used IB paper trading account for testing, which might be the reason of those problems, so lets' leave it at that for now.

Quote:
 Originally Posted by tomgilb There is some disagreement, among traders and platforms, whether the initial stop offset of a trailing stop should be changed to the new offset if the stop is manually moved.
Sierra's method of moving-and-updating the initial stop offset has some benefits, once you get used to it. It allows, for instance, quick tightening of the trailing stop when you are deep in the profit zone. So I actually like it the way it is.

Last edited by Lesmond; 02-16-2011 at 11:12 AM.
#6
02-16-2011, 08:35 AM
 Sierra Chart Support - Engineering Level Join Date: Jan 2000 Posts: 61,237
Re: Triggered Trailing Stop

We will be reviewing this thread when we have some time to see what documentation updates need to be done.
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Cheers
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy.

If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
#7
02-19-2011, 01:26 AM
 User Account Join Date: Nov 2008 Posts: 1,680
Re: Triggered Trailing Stop

Quote:
 Originally Posted by Lesmond Sierra's method of moving-and-updating the initial stop offset has some benefits, once you get used to it. It allows, for instance, quick tightening of the trailing stop when you are deep in the profit zone. So I actually like it the way it is.
This is a little off-topic here, so I'll post it elsewhere also...

Yesterday and today I used a trailing stop and manually moved the stop. The changed offset is a problem for me in most situations. I can only see it being an advantage in the example you mention: If you are deep into profit and the price is charging in your direction.

If the price is consolidating and at the lower edge of the chop, moving the stop just under the consolidation changes the offset to a very small offset, and as the price moves again into the chop zone, the stop follows too closely. You have to continually move the stop. Very annoying, rendering SC's training stop almost useless, IMHO.

The way it is now, you cannot use it to further cut your losses if the market turns against you. You can only use it to further maximize your gains if the market is moving in your favor.
__________________
Sierra Chart user, not SC Support, SC v1025/CLR pkg5, WinXP-32 SP3, DDT/TT FIX
#8
02-20-2011, 11:29 AM
 User Account Join Date: May 2007 Posts: 474
Re: Triggered Trailing Stop

Here are a few screenshots showing inconsistent behaviour of Triggered Trailing Stop mentioned before. Because the tests were conducted on EURUSD, when the price is 1.35600 I will refer to it as just "600". The settings are 8T|8T which translates to "40" points (0.00040):

http://img594.imageshack.us/img594/9...2011063025.png

1) Here is normal behaviour:

- long entry at 590
- initial stop = 550
- trigger price = 630
- when 630 is hit the stop will move to 590 (and start trailing from there)

Now let's try to modify the initial stop, let's move it from 550 to 540, which will also widen the trailing offset from 40 to 50 points:

- trigger price remains unchanged at 630
- when 630 is hit the stop will move to 580 (and start trailing from there)

This is how it works, no problems here (the third screenshot was taken a bit too late, after the price hit 630):

http://img249.imageshack.us/img249/3...2011053229.png
http://img255.imageshack.us/img255/1...2011054501.png
http://img255.imageshack.us/img255/6...2011054523.png

2) And here is unexpected behaviour:

- long entry at 320
- initial stop = 280
- trigger price = 360
- when 360 is hit the stop will move to 320 (and start trailing from there)

When the initial stop has been moved from 280 to 270 the expected stop levels are as follows:

- trigger price remains unchanged at 360
- when 360 is hit the stop will move to 310 (and start trailing from there)

http://img259.imageshack.us/img259/7...2011055610.png
http://img259.imageshack.us/img259/9...2011055653.png

However, this is not what's happening in real life. The trigger price has apparently changed to 345 and the trailing offset has narrowed from 40 to 30 points instead of widening from 40 to 50 points:

http://img510.imageshack.us/img510/3...2011060113.png
http://img510.imageshack.us/img510/8...2011060443.png
http://img510.imageshack.us/img510/7...2011060458.png

As mentioned before, this inconsistent behaviour of the Trigger Price and Trailing Stop occurred only under the following conditions:

a) in a long position, after the initial sell stop has been moved lower
b) in a short position, after the initial buy stop has been moved higher

Under any other scenarios both Trigger Price and the Trailing Stop followed the expected path.
#9
02-20-2011, 08:03 PM
 Sierra Chart Support - Engineering Level Join Date: Jan 2000 Posts: 61,237
Re: Triggered Trailing Stop

Lesmond, we appreciate your time on this. However, you already pointed out what you believe is an inconsistency and we are going to look into this and explain what is going on. The way these stops work is very precise and consistent and what you see is an inconsistency is standard behavior and we will explain it and update the documentation. During the process of this if we truly find something is wrong or some way to improve upon it, we will correct it and point that out. All of this additional information, we simply do not have any time to look at it all and it is unproductive for you to be spending time on it. We cannot review it because we do not have the time, the interest, and there is no need. Once we see that you state an inconsistency with the trigger price, just these literal few words is all we need. You already said there is some inconsistency and we will explain that once we have time to confirm how it works. However, triggered trailing stops do work consistently. Probably the issue is that the trigger price is internally held as an offset and that is added to the new trailing offset which can then give you a new trigger price. Maybe that can be viewed as an inconsistency, but programmatically it's working very precisely as it should.

We have confirmed that the trigger price is held as an offset. This is the trigger formula for a Sell triggered stop:
double Target = Price1 + Order.TrailStopOffset1 + Order.TrailTriggerOffset;

The simple question is, should the trigger price remain constant after adjusting the stop price. In our opinion, probably not in all cases.
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Cheers
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy.

If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.

Last edited by SC_SupportGroup; 02-20-2011 at 08:10 PM.
#10
02-20-2011, 08:09 PM
 Sierra Chart Support - Engineering Level Join Date: Jan 2000 Posts: 61,237
Re: Triggered Trailing Stop

Another thing, when you adjust a trailing stop the new trailing offset is relative to the current price or if it's a pending child, the parent order price.
__________________
Cheers
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy.

If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
#11
02-20-2011, 08:17 PM
 Sierra Chart Support - Engineering Level Join Date: Jan 2000 Posts: 61,237
Re: Triggered Trailing Stop

Quote:
 If you manually modify the Trailing Stop order, then the Trailing Price Offset will be recalculated by taking the difference between the new stop price and the current market price. Or in the case of an Attached Order, when its parent has not filled, it will be the difference between the new Stop price and the parent order price. The Trigger Price is calculated based upon an offset, therefore when you modify this stop order type, the Trigger Price is automatically adjusted.
Respectfully, what is the purpose of all of this discussion and analysis, when the behavior is clearly documented here. If something is not clear, then ask us with one or two simple sentences. If the Trigger Price should not change in any case, then simply say that that's how you want it to work and then we will consider changing it as an option. In the case of an Attached Order, the Trigger Price is specified as an offset, so it seems logical for to remain that way and move along with the stop and not be a fixed price. After all, if you're moving a stop, then all related prices should move along with it. It seems logical to us, that even the trailing stop offset is readjusted.

Anyway, after considering all of this, the one and only change we intend to do right now is to add an option to maintain the same trailing stop offset when the trailing stop is moved. This will make the movement of the trigger price less. That's all we want to spend time on right now.
__________________
Cheers
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy.

If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.

Last edited by SC_SupportGroup; 02-20-2011 at 09:33 PM.
#12
02-20-2011, 10:01 PM
 User Account Join Date: Nov 2008 Posts: 1,680
Re: Triggered Trailing Stop

Quote:
 Originally Posted by SC_SupportGroup The simple question is, should the trigger price remain constant after adjusting the stop price. In our opinion, probably not in all cases.
IMO, the offset of the trigger should always be solely based on the parent entry price, and not affected in any way by the trailing stop offset.
__________________
Sierra Chart user, not SC Support, SC v1025/CLR pkg5, WinXP-32 SP3, DDT/TT FIX
#13
02-21-2011, 04:54 AM
 User Account Join Date: May 2007 Posts: 474
Re: Triggered Trailing Stop

Quote:
 Originally Posted by SC_SupportGroup ... the one and only change we intend to do right now is to add an option to maintain the same trailing stop offset when the trailing stop is moved
Thanks, great news.

Quote:
 Originally Posted by tomgilb IMO, the offset of the trigger should always be solely based on the parent entry price, and not affected in any way by the trailing stop offset.
I couldn't agree more. So in case of an Attached Order, the Trigger Price would only depend on "trigger offset" setting and would never be affected by the "stop offset" setting, regardless if you move the stop (before the trigger price has been hit) or if you leave it unchanged:

long_ position: trigger price = parent order + trigger offset
short position: trigger price = parent order - trigger offset

I think the whole confusion here is the result of the complexity of Triggered Trailing Stop. For a programmer, this is just a single stop so it's logical that all price components follow each other when adjusted. For some traders, on the other hand, Triggered Trailing Stop consists of two separate stops: initial hard stop and trailing stop, where each of these two stops has its own, independent parameters.