Intraday stop using daily bar

AFL Programming
1

Good day to you all. I have a gap strategy (short only) using fixed stop loss and n-bar stop loss. When I try to set the fixed stop loss as 3-percent from the entry price, I observe that it does not close the position at (Entry price * 1.03) exactly but at some other prices, e.g. close price / prices I could not explain.

I have tried my very best to go through AFL Function Reference - APPLYSTOP and also post by ApplyStop query but I am still not be able to figure out the solution to this problem. Can anyone point me where I might have done wrong please?

SetPositionSize(100,spsPercentOfEquity);
SetTradeDelays( 0, 0, 0, 0 );
SetOption( "ActivateStopsImmediately", False );
SetOption( "AllowSameBarExit", False); 
SetOption("MaxOpenPositions",100);


GapD = GapDown();

MovingAv1 = MA(C,Optimize("M1",30,10,100,10));
MovingAv2 = MA(C,Optimize("M2",100,50,250,50));


Short = GapD AND MovingAv1 < MovingAv2;
Cover = 0;



ApplyStop( stopTypeNBar, stopModeBars,Optimize("Time Stop",21,1,40,2),1);
//ApplyStop( stopTypeTrailing, stopModePercent, Optimize("TS",5,3,10,1) ,1);
ApplyStop(stopTypeLoss,	stopModePercent, Optimize("Stop Loss",3,3,10,1),1);



Equity(1,-1);

Filter = 1;
AddColumn(ValueWhen(Short,Close)*1.03,"ValueWhen",1.2);
AddColumn(H,"H",1.2);
AddColumn(Short,"Short",1.2);
AddColumn(Cover,"Cover",1.2);
AddColumn(C,"Close",1.2);
AddColumn(ShortPrice,"ShortPrice",1.2);
2

I tried to set True for "ActivateStopsImmediately" for it could not be executed at the exact stop loss price still.

3

You do not have Coverprice column in your exploration.
Also Set Filter = Cover > 0;

So

//...

eq = Equity(1,-1);

Filter = Cover>0;
AddColumn(ValueWhen(Short,ShortPrice),"ShortPrice",1.2);
AddColumn(ValueWhen(Short,ShortPrice)*1.03,"SL Target",1.2);
AddColumn(O,"Open",1.2);
AddColumn(H,"H",1.2);
AddColumn(L,"L",1.2);
AddColumn(C,"Close",1.2);
AddColumn(Cover,"Cover",1.2);
AddColumn(IIf(Cover==2, 1, Null),"Cover SL",1);
AddColumn(IIf(Cover==5, 1, Null),"Cover nBar",1);
AddColumn(CoverPrice,"CoverPrice",1.2);

Complete code ->

SetPositionSize(100,spsPercentOfEquity);
SetTradeDelays( 0, 0, 0, 0 );
SetOption( "ActivateStopsImmediately", False );
SetOption( "AllowSameBarExit", False); 
SetOption("MaxOpenPositions",100);

GapD = GapDown();
MovingAv1 = MA(C,Optimize("M1",30,10,100,10));
MovingAv2 = MA(C,Optimize("M2",100,50,250,50));

ShortPrice = C;
Short = GapD AND MovingAv1 < MovingAv2;
Cover = 0;

ApplyStop( stopTypeNBar, stopModeBars,Optimize("Time Stop",21,1,40,2),1);
//ApplyStop( stopTypeTrailing, stopModePercent, Optimize("TS",5,3,10,1) ,1);
ApplyStop(stopTypeLoss,	stopModePercent, 3,1);

eq = Equity(1,-1);

Filter = Cover>0;
AddColumn(ValueWhen(Short,ShortPrice),"ShortPrice",1.2);
AddColumn(ValueWhen(Short,ShortPrice)*1.03,"SL Target",1.2);
AddColumn(O,"Open",1.2);
AddColumn(H,"H",1.2);
AddColumn(L,"L",1.2);
AddColumn(C,"Close",1.2);
AddColumn(Cover,"Cover",1.2);
AddColumn(IIf(Cover==2, 1, Null),"Cover SL",1);
AddColumn(IIf(Cover==5, 1, Null),"Cover nBar",1);
AddColumn(CoverPrice,"CoverPrice",1.2);

As you can see third and last column are in line when there is exit by stop loss:

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24864×536 25.8 KB

4

Thanks fxshrat. But after I implemented the new code, it seems the trade is still exist on the day high instead of immediate stop loss price level. Did I miss anything?
image

5

What is output of explorer?
Look at Open price column!
The code I added is explorer (result list) code not backtest code.

Apparently you have a gap (with prices exceeding stop target) so it would exit at Open price.

(As aside: If you post table pictures then include table header)

2 Likes
6

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