if it were being calculated correctly
There are a lot of different ways to calculate the movement of a trailing stop. One is not more right than another. What is right is for Bitcoinica telling its clients the formula for calculating the movement of the trailing stop.
One way is for a pip for pip movement of the trailing stop with the price. Specifically,
Quote from: Glynn and Iglehart 1995, Trading Securities Using Trailing Stops
Each time the price process reaches a new high, the stop is raised by the difference between the new high and the previous high.
You showed that this does not happen on Bitcoinica. Here is a graph for others to get an idea of what is going on. I have posted this data before, but I increased the trailing stop amount by 2.5 for each measurement so that it can be seen on the graph better. The top graph shows the movement of the price (in black) and the trailing stop (in red). The second graph shows the change in the price (black) and trailing stop (red). You can clearly see that the change in the trailing stop value is higher than the change in the price.
Thus the trailing stop is not on a pip to pip change like I originally thought it was.
