Trying to switch type of stop loss while in trade

AFL Programming
14

@MCassICT,

Noticed few things in your code:

  1. Unassigned Boolean condition.
//Filter 
W52wkHigh AND UnwrappedSMA AND UpTrend;
  1. Reassignment to 0 just after setting it.
Stage2UpTrend = W52wkHigh AND UnwrappedSMA AND UpTrend;
Stage2UpTrend = 0;

Stage2UpTrend = W52wkHigh AND UnwrappedSMA AND UpTrend becomes meaningless the moment you set it to 0 in next line.

  1. Calling the array in a loop instead of looking into its elements bar-by-bar.
if( _Buy[ i ] AND !LongFlag AND Stage2UpTrend)  {
  1. Incorrect use of an Array like a flag variable.
if( _Buy[ i ] AND !LongFlag AND Stage2UpTrend)  {
Stage2UpTrend = 1;

Stage2UpTrend is a bar-by-bar array of Bools i.e. 0 when False (condition(s) not met) or 1 when True (condition(s) met), you previously set it to W52wkHigh AND UnwrappedSMA AND UpTrend. Now that since you set it to 1 from inside the if check, once again the essence of Stage2UpTrend is lost and trade occurs whenever just the Cross( H, Ref( HigherHighs, -1 ) ) condition is met. Logically redundant!

So after removing the unnecessary stuffs, this is how it looks:

// 52 week high/low check, within 25%
W52wkHigh = C > 0.75 * HHV( H, 52 * 5 ) AND C > LLV( L, 52 * 5 ) * 1.30;

// Check trend using SMAs
SMA050 = MA( C, 50 );
SMA150 = MA( C, 150 );
SMA200 = MA( C, 200 );
UnwrappedSMA = C > SMA050 AND SMA050 > SMA150 AND SMA150 > SMA200;
UpTrend = SMA200 > Ref( SMA200, -22 );

_SECTION_BEGIN( "Controlled TSL" );
	 Per = Param( "Swing Period", 15, 3, 144, 1 );
	 LevelInitTSL = Param( "Initial Stop-Loss Level (x%)", 5, 1, 10, 1 ) / 100;
	 LevelAtrTslSwitch = Param( "Level (x%) from Entry for TSL switch", 10, 1, 20, 1 ) / 100;

	 MultATR = Param( "ATR Multiplier", 3.5, 1, 4, 0.5 );
	 PerATR = Param( "ATR Period", 14, 3, 89, 1 );
	 _ATR = ATR( PerATR );

	 // A Simple Demo strategy
	 HigherHighs = HHV( H, Per );
	 LowerLows = LLV( L, Per );
	 _Buy = Cross( H, Ref( HigherHighs, -1 ) );
	 _Sell = Cross( Ref( LowerLows, -1 ), L );	 

	 // Array Initialization
	 Buy = Sell = InitTSL = TSL = Null;
	 LongFlag = ShortFlag = 0; // Simple flag vars
	 Stage2UpTrend = W52wkHigh AND UnwrappedSMA AND UpTrend;
	 arr = C; // Array whose value is used as reference to trigger the TSL switch

	 // Using Loop to generate signals
	 for( i = 0; i < BarCount; i++ ) {
		 // Long Positions
		 if( _Buy[ i ] AND Stage2UpTrend[ i ] AND !LongFlag ) {
			 Buy[ i ] = 1;
			 LongFlag = 1; // To record that we are in Long position
			 LongEntryPrice = HigherHighs[ i ];
		 }

		 if( LongFlag ) {
			 if( arr[ i ] < LongEntryPrice * ( 1 + LevelAtrTslSwitch ) ) { // Setting-up initial stop-loss
				 InitTSL[ i ] = LongEntryPrice * ( 1 - LevelInitTSL );
				 TSL[ i ] = InitTSL[ i ];

				 if( TSL[ i - 1 ] > InitTSL[ i ] ) TSL[ i ] = TSL[ i - 1 ];
				 else TSL[ i ] = InitTSL[ i ];
			 }
			 else { // Switching to ATR based TSL
				 if( TSL[ i - 1 ] > H[ i ] - _ATR[ i ] * MultATR ) TSL[ i ] = TSL[ i - 1 ];
				 else TSL[ i ] = H[ i ] - _ATR[ i ] * MultATR;
			 }
		 }

		 if( ( _Sell[ i ] OR L[ i ] < TSL[ i - 1 ] ) AND LongFlag ) {
			 Sell[ i ] = 1; // Selling-off the Long position
			 LongFlag = 0;  // Reseting LongFlag back to False, to denote that we are no longer in "Long" position
		 }
	 }

	 // Plotting
	 Plot( C, "Price", colorDefault, styleBar | styleThick );
	 Plot( HigherHighs, "Highs", colorDarkGreen, styleDashed | styleNoRescale );
	 Plot( LowerLows, "Lows", colorBrown, styleDashed | styleNoRescale );

	 PlotShapes( IIf( Buy, shapeUpArrow, shapeNone ), colorBrightGreen, 0, L, -30 ); // Long Entry
	 PlotShapes( IIf( Sell, shapeSmallDownTriangle, shapeNone ), colorBrown, 0, H, -15 ); // Long Exit	 

	 Plot( TSL, "TSL", colorLightBlue, styleLine | styleNoRescale | styleNoLabel ); // Trailing Stop-Loss
_SECTION_END();

Otherwise as pointed out by @Metamega you can also write as below but need to take care of other unnecessary logic:

// 52 week high/low check, within 25%
W52wkHigh = C > 0.75 * HHV( H, 52 * 5 ) AND C > LLV( L, 52 * 5 ) * 1.30;

// Check trend using SMAs
SMA050 = MA( C, 50 );
SMA150 = MA( C, 150 );
SMA200 = MA( C, 200 );
UnwrappedSMA = C > SMA050 AND SMA050 > SMA150 AND SMA150 > SMA200;
UpTrend = SMA200 > Ref( SMA200, -22 );

_SECTION_BEGIN( "Controlled TSL" );
	 Per = Param( "Swing Period", 15, 3, 144, 1 );
	 LevelInitTSL = Param( "Initial Stop-Loss Level (x%)", 5, 1, 10, 1 ) / 100;
	 LevelAtrTslSwitch = Param( "Level (x%) from Entry for TSL switch", 10, 1, 20, 1 ) / 100;

	 MultATR = Param( "ATR Multiplier", 3.5, 1, 4, 0.5 );
	 PerATR = Param( "ATR Period", 14, 3, 89, 1 );
	 _ATR = ATR( PerATR );

	 // Array Initialization
	 Buy = Sell = InitTSL = TSL = Null;
	 LongFlag = ShortFlag = 0; // Simple flag vars
	 Stage2UpTrend = W52wkHigh AND UnwrappedSMA AND UpTrend;
	 arr = C; // Array whose value is used as reference to trigger the TSL switch
	 
	 // A Simple Demo strategy
	 HigherHighs = HHV( H, Per );
	 LowerLows = LLV( L, Per );
	 _Buy = Cross( H, Ref( HigherHighs, -1 ) ) AND Stage2UpTrend;
	 _Sell = Cross( Ref( LowerLows, -1 ), L );	 

	 // Using Loop to generate signals
	 for( i = 0; i < BarCount; i++ ) {
		 // Long Positions
		 if( _Buy[ i ] AND !LongFlag ) {
			 Buy[ i ] = 1;
			 LongFlag = 1; // To record that we are in Long position
			 LongEntryPrice = HigherHighs[ i ];
		 }

		 if( LongFlag ) {
			 if( arr[ i ] < LongEntryPrice * ( 1 + LevelAtrTslSwitch ) ) { // Setting-up initial stop-loss
				 InitTSL[ i ] = LongEntryPrice * ( 1 - LevelInitTSL );
				 TSL[ i ] = InitTSL[ i ];

				 if( TSL[ i - 1 ] > InitTSL[ i ] ) TSL[ i ] = TSL[ i - 1 ];
				 else TSL[ i ] = InitTSL[ i ];
			 }
			 else { // Switching to ATR based TSL
				 if( TSL[ i - 1 ] > H[ i ] - _ATR[ i ] * MultATR ) TSL[ i ] = TSL[ i - 1 ];
				 else TSL[ i ] = H[ i ] - _ATR[ i ] * MultATR;
			 }
		 }

		 if( ( _Sell[ i ] OR L[ i ] < TSL[ i - 1 ] ) AND LongFlag ) {
			 Sell[ i ] = 1; // Selling-off the Long position
			 LongFlag = 0;  // Reseting LongFlag back to False, to denote that we are no longer in "Long" position
		 }
	 }

	 // Plotting
	 Plot( C, "Price", colorDefault, styleBar | styleThick );
	 Plot( HigherHighs, "Highs", colorDarkGreen, styleDashed | styleNoRescale );
	 Plot( LowerLows, "Lows", colorBrown, styleDashed | styleNoRescale );

	 PlotShapes( IIf( Buy, shapeUpArrow, shapeNone ), colorBrightGreen, 0, L, -30 ); // Long Entry
	 PlotShapes( IIf( Sell, shapeSmallDownTriangle, shapeNone ), colorBrown, 0, H, -15 ); // Long Exit	 

	 Plot( TSL, "TSL", colorLightBlue, styleLine | styleNoRescale | styleNoLabel ); // Trailing Stop-Loss
_SECTION_END();

Few suggestions:

  1. Whenever in trouble use DebugView and/or Exploration for debugging your code. It will easily enable you to visualize the problem and hence solve it.
  2. Please thoroughly read Understanding how AFL works.
  3. Also read Type coercion in AFL.
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