Adaptive Autonomous Recursive Trailing Stop

2019년 7월 11일

Introduction

Trailing stop are important indicators in technical analysis, today i propose a new trailing stop A2RTS based on my last published indicator A2RMA (1), this last indicator directly used an error measurement thus providing a way to create enveloppes, which provide a direct way to create trailing stops based on highest/lowest rules.

The Indicator

If you need a more detailed explanation of this indicator i encourage you to check the A2RMA indicator post i made, parameters does not differ from the supertrend, thus having a length parameter and a factor parameter who is here described as gamma, gamma control how far away are the bands from each others thus spotting longer terms trends when gamma is higher.



On BTCUSD



Something worth mentioning is that the indicator sometimes behave like my MTA trailing stop indicator (2) who is closer to the price when a trend persist thus providing early exit points, however A2RTS behave a bit better.



Price can sometimes break the trailing stop, this can be interpreted as a support/resistance or just as an exit point, the support resistance methodology on trailing stop is not the most recommended.



Sometimes it is recommended to have an higher length rather than an high gamma like in this case for INTEL CORP, below gamma = 3 and length = 20



The microprocessor market like to use higher length's instead of higher gamma's, A2RMA is a non-linear filter, this would explain such behaviour.

Conclusion

Trailing stops might not suffer as much from whipsaw trades than MA crossovers but they still remain inefficient when market is not trending, results of the proposed indicator on major forex pairs are more than disappointing, but i hope this will serve as basis for other trailing stops that might act a little bit better. I conclude this post by thanking everyone who support my work and i encourage you to modify this indicator and share it with the community.

Thanks for reading !

Cited Articles

2019년 8월 7일

릴리즈 노트

Replaced bar_index + minor changes