ApplyStop() Firing But Late & Below Desired Level

[larata]

Hola a todos,

After spending some time with the ApplyStop() function I have now got it to result in the exiting of positions. For reasons that escape me, the position is exited a bar late and at a lower price. I'm not sure where the price it exits at is coming from because its not an O, H, L or C value and I can't pull it from any other calculations. All other aspects of the strategy operate as expected (entry, entry price, pos sizing, exit, exit price).

Scenario

1. Post-session on signal bar, limit order is placed 1% below this bar's low. Risk per share is x * ATR( x) below order price.
2. Post-session on entry bar, trailing stop is set to x * ATR( x) below this bar's low.
3. Intraday on exit/stop bar, stop level is hit and position is exited.

Code below with Buys/Sells substituted for generic rules.

_SECTION_BEGIN("stop_test_gen");

/* Set Options */
SetOption("EveryBarNullCheck", True);
SetOption("InitialEquity", 10000);
SetOption("AllowSameBarExit", False);
SetOption("MaxOpenPositions", 10);
SetOption("CommissionMode", 2);
SetOption("CommissionAmount", 5);
SetOption("UsePrevBarEquityForPosSizing", True);
SetTradeDelays(0, 0, 0, 0);
SetBacktestMode(backtestRegular);
SetOption("ActivateStopsImmediately", True);
RoundLotSize = 1; 

/* Position Sizing */
riskPerShare = ATR(10);
pctSize =  (1 * BuyPrice / riskPerShare);
SetPositionSize(pctSize, spsPercentOfEquity);

/* Buy Conditions */
enterLong = Cross(C, MA(C, 20));

/* Buy */
BuyPrice = (1.00 - (1 / 100)) * Ref(Low, -1);
Buy = (Ref(enterLong, -1)) AND (Low < (1.00 - (1 / 100)) * Ref(Low, -1));

/* Sell */
exitLong = Cross( MA(C, 20), C);
SellPrice = Open;
Sell = Ref(exitLong, -1);

/* Stoploss */
stopLength = (High - Low) + Ref(ATR(10), -1);
ApplyStop(stopTypeTrailing, stopModePoint, stopLength, 1, True, 1);

/* Plots */
Equity(1, 0);
inTrade = Flip(Buy, Sell);
stopLine = IIf(inTrade, HighestSince(Buy, High - stopLength), Null);

Plot(stopLine, "Stop Level", colorRed, styleLine);
Plot( Close, "Price", colorBlack, styleCandle);

PlotShapes(Buy  * shapeUpArrow, colorGreen, 0, Low);
PlotShapes(Sell * shapeDownArrow, colorRed, 0, High);

_SECTION_END();

/*		Exploration		*/
Filter = Buy OR Sell;
AddColumn(BuyPrice, "Entry Price");
AddColumn(Open, "Open");
AddColumn(High, "High");
AddColumn(Low, "Low");
AddColumn(Close, "Close");
AddColumn(stopLength, "Stop Length");
AddColumn(HighestSince(Buy, High - stopLength), "Stop Price");

Below is the backtest and exploration results. Trade exited at 48.76 instead of the stop level of 49.14.

[jcorniko]

Typical mistake. Open is lower than your stop and open is first trade of the day.

[larata]

I can see trades where that would be the case but there seems to be others where the open is higher than the stop and the low is lower than than the stop and it still seems to exit at an explainable price.

[larata]

This is an example of an open higher than the stop (my rules rather than generic substitutes).

Trade 'should' have exited intraday at the stop level of 70.44.

[larata]

This code had far more issues than what I raised. After a bit of reading and debugging, all is well.