Resetting the High Water Mark for a Trailing Stop
Summary
The post asks whether an ATR-RSI strategy should reset its intratrade high after a stop order closes a position. The displayed logic updates the stored high to the greater of its previous value and the current bar’s high, then calculates a long exit level as a percentage below that high. The author’s concern is that without resetting this state, a later trade may inherit a high from an earlier trade, so the stop would no longer reflect the current position’s lifetime high.
The excerpt frames a useful implementation question about trade-specific state in backtests and strategies. It does not include a reply, a proposed reset rule, or evidence showing how the full strategy handles position changes, so it leaves the correct lifecycle behavior unresolved. Traders reviewing similar systems should check how extrema are initialized at entry and updated or cleared at exit.
Key ideas
- A trailing exit can be based on the highest price observed during a long position.
- The stored high should be checked for trade-specific initialization when a position opens.
- A stale high carried across trades can distort the next position’s stop level.
- The excerpt raises the issue but does not provide a confirmed solution.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.