Wiki Category: user manual

Volatility Trailing Stop User Manual

Introduction

The Volatility Stop is an add-in for any Sierra Chart chartbook, that automates your trailing stop levels. It is based on the Average True Range, so it gives wider stops in high volatility markets, and tightens them in times of low volatility. This chart can be added to any chartbook (not just auto trading chartbooks) to automatically manage a trailing stop that moves in relation to volatility. It follows a multiple of the ATR and applies it to the current price.  A tick offset can also be applied. Stops only move in one direction. The combination of an automatic trailing stop and an auto trading system for entries, can be a very powerful addition to your trading toolbox.

Installation

Download the Zip file and open it to extract the CHT file, then save it in your Sierra Data folder, which varies depending on your broker. Check Global Settings>>General Settings if you are not sure where that is. This is the setting for Infinity Futures:

Setup

  1. Open Chartbook ATR Stop yymmdd.cht
  2. Right Click on the ATR Stop tab at the bottom and select Duplicate Chart to Chartbook and select the chartbook you want the ATR Stop inserted.
  3. Check the box “Switch to this chartbook”, and then click OK.
  4. The ATR Stop chart has its symbol linked to all charts with Link Number 1. This way you don’t need to change anything unless the chart you want to have managed stops is linked differently.  Most Forgiving Computers chartbooks use Link 1 for the auto trading charts. However, if you want to add ATR Stop to another chart, you need to change the link number. Check the link number of the chart you wish to manage by opening chart settings, and going to Advanced Settings 2 and note the link number. 
    Then open the same chart settings for the ATR Stop chart and modify the link to match the chart you want to add the trailing stop to.
  5. With the ATR Stop chart selected, enable Auto Trade Global and Auto Trade Chart (on by default). ATC may be used to toggle the use of the automatic trailing stop.
  6. Trade management uses attached orders, so make sure “Use Attached Orders” is Checked on the Trade Management window, and you have configured the initial target(s) and stop(s).
  7. Test the Automatic stops in simulation. Try an attached order with a very high stop and target.  Enter a long or short market order, and watch to see if the stop moves. If there is no motion, make sure Auto Trading is enabled for both Global and Chart (for the ATR Stop Chart).
  8. Optional: Adjust ATR Multiplier and Offset (See below)
  9. Optional: Adjust Time frame and ATR periods
    1. The ATR Stop chart is time based, and converting it to a range, tick, or volume based chart will alter the ATR to not be an indicator of volatility, causing inaccurate trade exits. A higher time frame will cause the ATR to increase, widening the stops and the stop will move more slowly. The default is 1 min. You can change this in the ATR Stop chart settings.
    2. ATR Periods. Increasing it will smooth out the ATR and reduce it. You can change the period in Study ID8 Average True Range. The default is 14.
    3. ATR Moving Average Type: You can change the type of moving average used in the ATR calculation as well. 

 

ATR Multiplier and Offset:

The Stops are calculated by taking the Average True Range of the last 14 bars, multiplying it by a number called the ATR Multiplier and adjusting it by an offset in ticks. The ATR Multiplier allows you to adjust the relative impact of ATR on the stops. The default ATR Multiplier is 1.

 

The Offset is added or subtracted from the adjusted ATR, to provide an additional fixed distance away from the ATR stop. A positive offset will widen the stops, a negative offset will tighten them. The default Offset is 1 tick.

 

For example if  the ATR is 5, the multiplier is 1.2, the offset is 2 and the tick size is .25, then the stop will be:

Stop in Points = (5 x 1.2) + (2 x .25)  = 6.5

The ATR Multiplier and Offset are adjusted in the Input Study (ID1) of the ATR Stop Chart.

 

 

Usage

The auto stop is ready when it is added to a chartbook. It can be added to any chartbook, whether or not it is an auto trading chartbook.  Automatic stops are a form of auto trading, so Auto Trading – Global must be enabled, as well as Auto Trading – Chart for the ATR Stop chart.  It will monitor price action and along with the ATR of the 1m chart it is based on, compute stops for both longs and shorts. If the initial stop is tighter than the ATR stop, then nothing happens. When the ATR stop is closer than the initial stop, then it will start moving the stop based on the current value of the ATR.  It will check every 10 seconds, but it will only move the stop in a direction that improves your risk.

 

Note: If you have multiple stops, then only the closest one is moved. This may be important in your trade management decision.

 

Adjusting the ATR Multiplier will change the probability of being stopped out. Since it is based on the ATR,  it is possible a candle will move more than the ATR. By increasing the ATR multiplier, the result will be wider stops, with fewer hit, but potentially higher losses. There is no one size fits all, so it is valuable to determine what multiplier works best for you.

 

If you wish to add the ATR stop to a chart book with multiple charts using different symbols, then you need to Duplicate the ATR Stop chart and then change the duplicate’s link number to match the chart you want to control.  This is not necessary if you have multiple charts trading the same symbol, like the S3 T3 Combo.

 

You can minimize the ATR Stop chart window or leave it open to see where the stop locations would be.

 

You can add buttons to the Control Bar to enable and disable Auto Trading. Read about that here.

 

 

T3 Inputs

The T3 Inputs Study controls the Maximum Daily Profit and Loss numbers, and the Order Quantity. When the Max Daily loss or profit number is reached, auto trading will cease, and the arrows will disappear from the chart.

To adjust the T3 Inputs, Right-Click on the T3 Chart and select Studies.

Select the T3 Inputs Study and click Settings (or Double Click on the study).

Dly Max Loss Value: Set this to a negative number. Auto trader will stop for the day if your losses are at least this much. Also used in the Daily PL Progress calculations.

Dly Max Profit Value: Set this to a positive number. Auto trader will stop for the day if your profits are at least this high. Also used in the Daily PL Progress calculations.

Order Quantity Value: This is the number of contracts the auto trader will enter into. Note if this number is greater than the number of contracts in the attached order, then the attached order will get filled more than once.

 

Changing Session Times

If you are trading in a time zone that is different from New York (EST/EDT), then you may want to change Session Times in some of the charts. Note that this is an optional step, and with the exception of the S3 VWAP* rule, it does not impact any of the auto trading rules. It will help you be consistent with other traders, so you will know you are all looking at the same thing.

Many of the charts are 24 hour charts, which means their session starts at midnight (00:00:00). By default this is Midnight in New York.

The easiest way to fix this across all S3 and T3 chartbooks, as well as chartbooks downloaded from the TradingFibz shared drive is to simply tell Sierra Chart that you want to trade in New York time. Go to  Global Settings>>Data/Trade Service Settings and change the Time Zone to New York (-5 EST/-4 EDT):

Setting Sierra Chart to New York Time.

Of course, depending on where you live this might take some getting used to.

This web site can help you determine market hours around the globe, and it is tied to your PC’s time zone, which should be set to where you are: https://market24hclock.com/

Should you decide you want to adjust the charts to match your trading time zone, you open the chart settings and set the session times.

24 hour Chart:

This is the chart settting from the T3 chart:

 

24 Hour Chart

Change the highlighted times to your local time when it is midnight in New York. For example, if you live in London, and trade in London Time, then New York is 5 hours behind, so when it is 05:00:00 in London, it is midnight in New York. So you would change Start Time to 05:00:00 and End Time to 04:59:59.

For charts that are based on RTH (Regular Trading Hours) or if there are evening sessions, add or subtract the appropriate number of hours depending on your trading time zone.

Adjust the session times for your trading time zone.

 

* The VWAP study resets at Midnight, so the reset will depend on which time zone you are in. You want it to reset at Midnight New York time, so the S3 charts that use the VWAP rule (which by default is disabled) should change if you plan on using it.

In the end, you should ask yourself if it is worth the trouble of changing your charts, or if you should just get your head around trading in New York time.

T3 1.0 Setup

The Chartbook should look something like this:

T3 NQ Chartbook example

 

The charts are a follows starting from the left and going clockwise:

  • T3 NQ: The main chart for trading.
    • The candles are Flex Renko with the Heiken Ashi study applied to them.
    • The Green cloud is the overlay from the hidden 1 min chart of the 50 and 144 exponential moving averages. When it is Green the 50 ema is above the 144 ema.
    • The Blue band indicates two of the MML Resistance levels overlaid from the MML chart.
    • In the upper right is the NASDAQ Tick value overlaid from the TICK-NASDAQ chart, which is hidden.
    • The upper displays the progress towards the daily PL goals. Positive means a net Profit, Negative means a net Loss. (Note: Commissions are not included.)
    • The three colored bars at the bottom are from top to bottom:
      • T3-5 / T3-8: Green means T3-5 is above T3-8. One requirement for a long entry.
      • 5/34 EMA:  Overlaid from the hidden 5/34 EMA chart. Green means the 5 is above the 34.
      • 50/144: Overlaid from the 1 min chart. Green means the 50 EMA is above the 144. Corresponds to the color of the 50/144 cloud.
  • MML: This is a the 5 minute Murrey Math Levels chart. It is not part of the auto trader rule set. You may want to watch it for possible reversals and disable auto-trading at key levels. The chart is overlaid onto the T3 chart. You may want to change the period of the MML chart or the “Square Width” of the MML Mod study.
  • 5 Min chart: This is provided with several key levels. If you are not trading in the New York (EST), you may want to adjust the hours so you get consistent results.  (See Changing Session Times)

     

    Hidden Charts: You can view these, but they should remain minimized as they are providing information to other visible charts.

  • 5/34 EMA:  Same time frame as the T3 chart. Changing the time frame or symbol on the T3 chart changes this one too. Provides the region 3 background colors.
  • 1m – 50/144: A time based chart, with two MAs that get overlaid as the cloud on the T3 chart.
  • Midnight Open: The start of a new trading day.
  • Tick-xxxx: This is provided on chartbooks for the Stock Index futures (ES, NQ, YM and RTY). It provides the tick text data in the upper right of the T3 chart.
  • T3 xx yyymmdd.scss: This is the Spreadsheet Study for Trading that controls the auto trading logic. You normally do not need to touch this. Nor do you need to save it when asked. You do need to take extra steps if you want to clone a chart book. See instructions here.

Creating Custom Chartbooks

  • The Mega Bundle includes four templates for custom symbols. Open one of the T3 Custn yyymmzz.cht files and change the symbol on Chart #1, the T3 Chart. Your new symbol will be applied to all relevant charts.
  • Save the file with the same name.
  • If you decide to save the file with a new name, then you should make sure you don’t use the same Custn chartbook for another symbol, as the SCSS will will be associated with two chartbooks, and that could cause problems.

 

 

T3 1.0 Installation

  1. In Sierra Chart determine the Data folder location by opening Global Settings>General Settings>General 1>Data Files Folder.

    Transact Futures changes the default location


  2. The path should already be selected (highlighted). Copy the Path by right clicking and selecting Copy.
  3. Download the Zip file to any folder.
  4. Open the Zip file by double clicking on it
  5. Run the setup.exe file.
  6. Click I accept the agreement.
  7. Click Next
  8. In the box where it says Select Destination Location, right-click and Paste the path you copied from Sierra. You may also Browse to the location.
  9. To the Folder Exists Dialog box: Click Yes.
  10. Click Install
  11. Click Finish
  12. Go Into Sierra Chart and File>>Open Chartbook and pick one of the T3 xx yyymmdd.cht files.

T3 1.0 Features

Features of the Auto Trade Chartbooks

  1. Adjustable Flex Renko Time frames. Some markets move faster than others, so for the ES market, a 5-4-0 setting is used. For NQ, 10-7-0 or 15-14-0 is used. Every market has an ideal setting at any point in time.
  2. Attached orders are supported. Set targets and stops as you like.
  3. Order quantity can be modified to allow for multicontract trades.
  4. Adjustable order quantities, default is 1. (Even if you change the attached order. See “Changing the Order Quantity” in Setup.
  5. User selectable daily maximum profit and loss limits. Auto trade will stop for the day if either of these are hit.
    Defaults:

    1. Daily Max Profit: $100
    2. Daily Max Loss: ($100)
  6. 5 minute charts for Murrey Math Levels (MML) and other popular levels.

The T3 Strategy

Long Entries: 

Setup: T3-5 crosses above T3-8

Entry: Look for first bar that meets all of the following, then enter with a Market Order on the close

  • Heiken Ashi Trend Bar Up
  • T3-5 is above T3-8
  • 5 EMA is above 21 EMA
  • 50 EMA is above 144 EMA on 1 min chart
  • Price is above the 50/144 “cloud”

Exit at any of the following:

  • Target Hit
  • Stop Hit
  • T3-5 crosses below T3-8

Short Entries: 

Setup: T3-5 crosses below T3-8

Entry: Look for first bar that meets all of the following, then enter with a Market Order on the close

  • Heiken Ashi Trend Bar Down
  • T3-5 is below T3-8
  • 5 EMA is below 21 EMA
  • 50 EMA is below 144 EMA on 1 min chart
  • Price is below the 50/144 “cloud”

Exit at any of the following:

  • Target Hit
  • Stop Hit
  • T3-5 crosses above T3-8

 

 

T3 Introduction

The T3 Trading Rules are the core strategy of the TradingFibz.com trading room, run by David Katz. It is based on a combination of Flex Renko Heiken Ashi bars, moving averages, and overlays from other time periods.  The detailed rules are here.

T3, or Trade The Trend, is a trend following system, which has as its goal to identify and ride long trends for high returns.  The Flex Renko bars, combined with the Heiken Ashi study, transform ordinary candles into trending candles and indecision candles. A trending candle appears to be a solid body with only one wick.

1 Minute Candles show you time based price action
Flex Renko Bars are Range based, the bar closes when price has moved a certain number of ticks. In this case, 15.
The combination of Flex Renko bars and the Heiken Ashi study smoothes out price action so trend is easily identified.

Heiken Ashi bars indicate indecision when there are two wicks. They indicate trend when there is one wick pointing in the direction of the trend.

This auto trade chartbook will allow the user to decide to auto trade when market conditions appear favorable.   It is not intended to be a “set it and forget it” tool. It will win some and lose some trades. Discretion is recommended, when deciding to enable or disable auto trading at any point in time.  The main benefit of auto trading is getting you into a trade so you can manage it.

S3 2.0 Features

Features of the Auto Trade Chartbooks

  1. Flexible rules for implementing the study on any symbol.
    1. The min and max tick movements required to be a valid entry are adjustable by the user.
  2. Attached orders are supported. Set targets and stops as you like.
  3. Adjustable order quantities, default is 1. (Even if you change the attached order. See “Changing the Order Quantity” in Setup.
  4. User selectable daily maximum profit and loss limits. Auto trade will stop for the day if either of these are hit.
    Defaults:

    1. Daily Max Profit: $100
    2. Daily Max Loss: ($100)
  5. Optional rule to not enter below (long)/above (short) VWAP.
  6. Option to disable the Moving Average Exit cross rule for backwards compatibility with S3 v 1.0.
  7. Any type of candle can be used: Volume Bars are the default. A Volume Bar consists of x (e.g. 3000) contracts before closing and creating a new bar. The number x is set in the chart settings.
  8. The last bar’s volume countdown to zero is displayed on the chart.
  9. Volume Bar and Flex Renko Heiken Ashi bar charts in the same chartbook, allowing the selective trading of two strategies based on market conditions.
  10. S3 M8 charts have 8 symbols in one chartbook. These are set to monitor trades from other charts, but they can also be enabled to auto-trade as a live dashboard. In support of Live Trading Challenges, the total number of open positions across the 8 symbols is displayed in the upper left window. This is a read only display and is not configured to prevent trading beyond any maximum limit.