Exiting on stop VS limit
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Hello everyone – I would like your help if you would be so kind…
I’d like to understand why there is a difference between the time of exit using “stop” as opposed to “limit”. I obviously understand the fundamental differences between stops and limits in real life, but I can’t explain why the differences are sometimes so pronounced in Pro Order.
As you can see from the screengrabs, if I use “sell at close STOP” then the trade exits the bar after the graphed entry condition, which is what I would expect. But if I were to change that code to “sell at close LIMIT”, the trade exits three bars later. Throughout most of my dataset, using Limit exits the trade in the same bar and it seems to improve my results by about one point per trade, but in this case it is quite a large difference that goes against me.
Why should be this be?
DEFPARAM CumulateOrders = False longentry1= close crosses over SuperTrend[1.5,34] shortentry1= close crosses under SuperTrend[1.5,34] longexit1= close < SuperTrend[1.5,34] shortexit1= close > SuperTrend[1.5,34] fri1start=005200 fri1end=012200 fri2start=012400 fri2end=023400 fri3start=044200 fri3end=055200 fri4start=074600 fri4end=085600 fri5start=125200 fri5end=140200 fri6start=143600 fri6end=154600 fri7start=163200 fri7end=174200 fri8start=0 fri8end=0 if intradaybarindex=0 then entryflag=0 endif if time =fri1start and opendayofweek=5 then entryflag=1 endif if time =fri1end and opendayofweek=5 then entryflag=0 endif if time =fri2start and opendayofweek=5 then entryflag=1 endif if time =fri2end and opendayofweek=5 then entryflag=0 endif if time =fri3start and opendayofweek=5 then entryflag=1 endif if time =fri3end and opendayofweek=5 then entryflag=0 endif if time =fri4start and opendayofweek=5 then entryflag=1 endif if time =fri4end and opendayofweek=5 then entryflag=0 endif if time =fri5start and opendayofweek=5 then entryflag=1 endif if time =fri5end and opendayofweek=5 then entryflag=0 endif if time =fri6start and opendayofweek=5 then entryflag=1 endif if time =fri6end and opendayofweek=5 then entryflag=0 endif if time =fri7start and opendayofweek=5 then entryflag=1 endif if time =fri7end and opendayofweek=5 then entryflag=0 endif if time =fri8start and opendayofweek=5 then entryflag=1 endif if time =fri8end and opendayofweek=5 then entryflag=0 endif if not onmarket and entryflag=1 and lowest[4] <= lowest[30] and longentry1 then BUY 1 PERPOINT AT MARKET entryflag=0 endif if not onmarket and entryflag=1 and highest[4] >= highest[30] and shortentry1 then Sellshort 1 perpoint at market entryflag=0 endif if longonmarket and longexit1 then sell at close stop endif if shortonmarket and shortexit1 then exitshort at close stop endif graph longexit1A pending order is an order that was not yet executed, thus not yet becoming a trade. It can, for example, be an order that states that you do not want to buy before the price of a financial instrument reaches a certain point.
If you want to close a long order with a sell limit, the price must touch the desired level from below and this is what it seemed to happen on your second picture.
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Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 02/25/2020 |
| Status: | Active |
| Attachments: | 3 files |
