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View Full Version : Tradestation Volatility Stop code



Wei
09-26-2011, 06:38 PM
Here is the TS volatility stop code for those who are interested. I used the investor/RT algorithm. (I just switched to TS two months ago, and am still learning the language, so the code might be a bit hacky). Thanks to Billy for introducing such a wonderful tool.

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inputs:
TR_period ( 65),
TR_multiplier ( 5),
uptrend_color (green),
downtrend_color (red);

variables:
vstop(0),
v_range(0),
max_closing(0),
min_closing(10000),
up_trend(true),
prev_vstop(0);

v_range = Average( TrueRange, TR_period) * TR_multiplier;

{if trend continues}
If up_trend then Begin
If Close > max_closing then
max_closing = Close;
vstop = max_closing - v_range;
If vstop < prev_vstop then
vstop = prev_vstop;
end
Else Begin
If Close < min_closing then
min_closing = Close;
vstop = min_closing + v_range;
If vstop > prev_vstop then
vstop = prev_vstop;
end;

{check for trend change}
If up_trend and Close < vstop then Begin
up_trend = false;
min_closing = Close;
max_closing = 0;
vstop = Close + v_range;
end
Else if (up_trend <> true) and Close > vstop then Begin
up_trend = true;
max_closing = Close;
min_closing = 10000;
vstop = Close - v_range;
end;

Plot1( vstop, "VStop" ) ;

prev_vstop = vstop;

If up_trend then begin
SetPlotColor(1, uptrend_color);
end
Else begin
SetPlotColor(1, downtrend_color);
end;