Why are my trades closing after 0 bars with a stop loss?

• 01/30/2017 at 10:44 PM #23166
  n79xt

  Hi,

  When I backtest my strategy with a stop loss command (SET STOP PLOSS 50 for example), in the detailed report I get several trades which close after 0 bars (on the same day) with a loss equivalent to the stop loss (see attached image). However if I remove out the stop loss command, these trades seem to proceed through but they don’t necessarily enter a large loss – sometimes they even enter a profit. The backtesting period I am using is Daily, and I force all my trades to close after N number of days (using BARINDEX-TRADEINDEX(1)>5 for example).

  Could I please get an explanation as to why ProRrealTime is forcing some of my trades to close on the same day after 0 bars, rather than closing my trades N days later?

  This is the code I have that exits all my positions:

   

  // Conditions to exit ALL positions IF ONMARKET AND closeDate THEN SELL AT MARKET ENDIF

  1 2 3 4 5

  // Conditions to exit ALL positions   IF ONMARKET AND closeDate THEN SELL AT MARKET ENDIF

  Thanks and I appreciate your help.

  

  n79xt

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  01/30/2017 at 10:49 PM #23169
  GraHal

  Hi N

  Are not the Trades getting stopped out .. as in price drops at some point by 50 points and Trade exits? Because Trade is stopped out in same day as entry then it shows as zerobar because that daily bar did not finish before getting stopped out?

  Cheers
  GraHal

  

  GraHal

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  01/31/2017 at 12:13 AM #23182
  Big Hug

  I agree with GraHal ..

  If for example, take the 14th June 2016

  Open 6018.8 H 6041.8 L 5905.6 C 5915.6

  Open to Low = minus 113 Points

  High to Low = minus 136.20

  It obviously depends on what the entry conditions are,  but if it moves more than 50 points from the trade entry point & as specified by your stop – the trade will close out.

  You could try widening your stop to 150 points and then see how this computes.

  My usual rule of thumb : The longer your time frame – the larger your stops need to be ( & the bigger your bank needs to be)

   

  1 user thanked author for this post.

  Nicolas

  

  Big Hug

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  02/04/2017 at 3:41 PM #23919
  n79xt

  Thanks for the reply, guys. Turns out my stop was indeed getting triggered far often than required during intraday hours even on a daily period.

  I consider this matter to be solved now.

  

  n79xt

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