Hi,

I've done the Bootcamp lesson 'Buy and Hold with a trailing stop'. It is very clear and useful. But, it sets the trailing stop using the previous day's closing price. I want to create a variant in which the trailing stop is based on the intraday high price. I have been working on it for quite some time now, but have not been able to get that to work - though I suppose it cannot be all that hard. My attempts don't build correctly yet, so I couldn't attach a backtest.

Could anyone please give me some hints on how to change the example Bootcamp solution to minute time resolution? Thanks!

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Link to Bootcamp page: Creating-a-Trailing-Stop-Loss

Bootcamp solution for daily time resolution, using previous closing price:


 

class BootCampTask(QCAlgorithm): # Order ticket for our stop order, Datetime when stop order was last hit stopMarketTicket = None stopMarketOrderFillTime = datetime.min highestSPYPrice = 0 def Initialize(self): self.SetStartDate(2018, 12, 1) self.SetEndDate(2018, 12, 10) self.SetCash(100000) spy = self.AddEquity("SPY", Resolution.Daily) spy.SetDataNormalizationMode(DataNormalizationMode.Raw) def OnData(self, data): if (self.Time - self.stopMarketOrderFillTime).days < 15: return if not self.Portfolio.Invested: self.MarketOrder("SPY", 500) self.stopMarketTicket = self.StopMarketOrder("SPY", -500, 0.9 * self.Securities["SPY"].Close) else: #1. Check if the SPY price is higher that highestSPYPrice. if self.Securities["SPY"].Close > self.highestSPYPrice: #2. Save the new high to highestSPYPrice; then update the stop price to 90% of highestSPYPrice self.highestSPYPrice = self.Securities["SPY"].Close updateFields = UpdateOrderFields() updateFields.StopPrice = self.highestSPYPrice * 0.9 self.stopMarketTicket.Update(updateFields) #3. Print the new stop price with Debug() self.Debug("SPY: " + str(self.highestSPYPrice) + " Stop: " + str(updateFields.StopPrice)) def OnOrderEvent(self, orderEvent): if orderEvent.Status != OrderStatus.Filled: return if self.stopMarketTicket is not None and self.stopMarketTicket.OrderId == orderEvent.OrderId: self.stopMarketOrderFillTime = self.Time

 

Author

Bert Vaughan Merrick

August 2019