Bracket order with a Trailing Stop

Søren Pallesen

Any input to how I smartest set a bracket order plus a trailing stop such that the 1) stop and the 2) limit in the bracket have a OCO (aka One Cancel Others) relationship with 3) the trailing stop?

if not self.position and self.myindicator > self.params.p:
    self.buy_bracket(limitprice=self.data.close[0]*self.params.lPerc, price=None, stopprice=self.data.close[0]*(1-self.params.sPerc))
    self.tstop = self.sell(exectype=bt.Order.StopTrail, trailpercent=self.params.tPerc)

In other word tstop gets canceled immediately in the same next() loop if the stop or the limit order in the bracket is executed, cancelled or expires - AND visa versa.

@søren-pallesen You can use trailing stops in buy_bracket with the latest release, but note that there might be a bug. See my posts regarding the bug.

You would write something like this:

self.buy_bracket(...,stopexec=bt.Order.StopTrail,trailamount=trailamount,...)

Søren Pallesen

@cheez can i have both a stop and a trailing stop in the same bracket order?

@søren-pallesen Ah, no I don't think that's possible.

Søren Pallesen

Anyone? ...maybe @backtrader? thx in advance ...

ab_trader

What is the reason to have 2 stops at the same time? Only one will work anyway.

Søren Pallesen

@ab_trader There are three live orders on the position: One is a stop (to limit loss) and the other is a trailing stop (to take profit) and the last is a limit (to take profit).

They all trigger on different conditions.

ab_trader

From two stops only one will work, the one which is closer to the current price. IMO it is useless to have two stops for single position.

Søren Pallesen

A trailing stop and a (normal) stop works completly different. For example on position bought at $10 a stop at say $9 would protect against a loss. A trailing stop of 20% would ensure that you sold if the price drops 20% at any time of the life span on the position. So if the price increased to $20 and drops to $16 it would be sold with a profit of $6.

A normal stop is static protecting against a loss and a trailingstop dynamic and typically primarily used to lock in a profit while keeping the upside of further increases.

Søren Pallesen

This worked fo me (it seems - still have more testing to do) in case anyone is interested ... :-)

                mainside = self.buy(transmit=False)
                lowside  = self.sell(price=self.data.close[0]*(1-self.params.sPerc), size=mainside.size, exectype=bt.Order.Stop, transmit=False, parent=mainside)
                highside = self.sell(price=self.data.close[0]*self.params.lPerc, size=mainside.size, exectype=bt.Order.Limit, transmit=False, parent=mainside)
                trailside = self.sell(size=mainside.size, exectype=bt.Order.StopTrail, trailpercent=self.params.tPerc, transmit=True, parent=mainside)

Incendently anyone know the differences in doing this with 'OCO' vs the 'Parent' property?

backtrader

OCO orders are all active at the same time.

Bracket orders (the ones you submit with parent) have a different lifecycle:

parent is 1st alive. children are inactive
If the parent is cancelled the children are simply discarded (they weren't active)
If the parent is executed, the children are activated
Both children behave now like OCO orders