Exiting on stop VS limit

• 02/25/2020 at 12:55 PM #120427
  Mike Boorman

  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?

  Stop code

  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 longexit1

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132

  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 longexit1

   

  

  Mike Boorman

  Participant

  Topics: 16

  Replies: 96

  Been thanked: 4 times
  02/25/2020 at 4:54 PM #120477
  Nicolas

  A 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.

  1 user thanked author for this post.

  Mike Boorman

  

  Nicolas

  Keymaster

  Topics: 83

  Replies: 20899

  Been thanked: 4867 times
  02/25/2020 at 5:01 PM #120480
  Mike Boorman

  Thanks for the response. That all sounds logical, but on my second picture the trade touches the trendline from below the bar after it closes. How could that trade have closed at that time? The bar when it closes is nowhere near to the trendline.

  

  Mike Boorman

  Participant

  Topics: 16

  Replies: 96

  Been thanked: 4 times
  02/25/2020 at 5:56 PM #120489
  Nicolas

  What trend line please? You mean the Supertrend indicator?

  

  Nicolas

  Keymaster

  Topics: 83

  Replies: 20899

  Been thanked: 4867 times
  02/25/2020 at 5:58 PM #120490
  Nicolas

  If you want to directly exit the order, do not use pending order, but market ones:

  SELL AT MARKET

  or

  EXITSHORT AT MARKET

  1 user thanked author for this post.

  Mike Boorman

  

  Nicolas

  Keymaster

  Topics: 83

  Replies: 20899

  Been thanked: 4867 times
  02/25/2020 at 7:20 PM #120498
  Vonasi

  Are you certain that your Supertrend settings on the chart are identical to those in the strategy? Use GRAPHONPRICE to check.

  

  Vonasi

  Moderator

  Topics: 192

  Replies: 5088

  Been thanked: 1812 times
  02/26/2020 at 11:41 AM #120544
  Mike Boorman

  Thank you Nicolas – that is the solution.

  I guess there’s one other thing that has occurred to me that might be an improvement on my entry. Currently my exit rule derives from “if close is > X”… but is there a way of the trade exiting in real time at the moment it breaches the trendline, rather than waiting for the close?

  

  Mike Boorman

  Participant

  Topics: 16

  Replies: 96

  Been thanked: 4 times
  02/26/2020 at 12:35 PM #120548
  Vonasi

  Yes of course – but you have to consider that all orders are created at the close of a candle and at this time we only know what the supertrend level was for that candle that has just closed. The only way to close on the live supertrend value is to use MTF and trade in a faster timeframe while calculating the supertrend in a slower timeframe. Then just use STOP orders in the fast timeframe.

  1 user thanked author for this post.

  Mike Boorman

  

  Vonasi

  Moderator

  Topics: 192

  Replies: 5088

  Been thanked: 1812 times
  02/26/2020 at 1:16 PM #120557
  Mike Boorman

  Oh I didn’t realise Multi Time Frame was available. This is good to know!

  Thank you. 🙂

  

  Mike Boorman

  Participant

  Topics: 16

  Replies: 96

  Been thanked: 4 times
  02/26/2020 at 2:19 PM #120575
  Vonasi

  The downside of using MTF is that by operating our strategy on a higher time frame we get less data to work with and back test on. The faster we want our strategy to respond the lower the amount of meaningful data we have to play with.

  

  Vonasi

  Moderator

  Topics: 192

  Replies: 5088

  Been thanked: 1812 times
• Author
  Posts