Stop loss not triggered in certain cases

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  • #139011 quote
    Xove
    Participant
    Junior

    Hi!

    I have an issue with activation of stop losses in certain cases. When the number of contracts is big enough the system seems to ignore the stop loss and close the position at the low of the next bar.

    IF NOT LongOnMarket THEN
    BUY 16 CONTRACTS AT MARKET
    ENDIF
    SET STOP LOSS 35

    In this example, if the size is equal to 15 (or less), the stop loss is correctly triggered, otherwise I get a big loss.
    The problem happens with other instruments as well.

    Could you help me, please?

     

    Francesco

    DJI-Daily-2020_07_11-14h31.png DJI-Daily-2020_07_11-14h31.png DJI-Daily-2020_07_11-14h31-2.png DJI-Daily-2020_07_11-14h31-2.png
    #139014 quote
    robertogozzi
    Moderator
    Master

    Try increasing the starting capital, maybe it’s not enough.

    #139016 quote
    Xove
    Participant
    Junior

    Hi Roberto,

    Starting capital is 10.000$.
    35 points x 15 contracts x 2$/point is equal to 1.050$ of loss (as in the first attachment).
    35 points x 16 contracts x 2$/point is equal to 1.120$ of loss.

    This should be a 11,2% drawdown.

    Am I wrong?

    #139025 quote
    robertogozzi
    Moderator
    Master

    If you already tried increasing your capital, well… I have no idea what the cause could be.

    Drawdown calculations are a bit different, but I understand what you mean.

    #139028 quote
    Xove
    Participant
    Junior

    The stop loss isn’t triggered. If the capital is too small I would expect a close even before the stop loss, not at the low of the candle!

    This is the point.

    #139161 quote
    Nicolas
    Keymaster
    Master

    Thanks, that’s a strange behavior, I will report it to understand why it acts like this, thanks for reporting it.

    #139068 quote
    GraHal
    Participant
    Master

    SET STOP LOSS 35

    Did you intend to put …

    SET STOP PLOSS 35
    #139359 quote
    Nicolas
    Keymaster
    Master

    I had news and it is indeed an issue that should be fixed in an upcoming release.

    Dow Jones thanked this post
    #139360 quote
    Dow Jones
    Participant
    Veteran

    indeed an issue

    Thanks, Nicolas. Is the problem confirmed it is only with 16 contracts and above?

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Stop loss not triggered in certain cases


ProOrder: Automated Strategies & Backtesting

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Xove @xove Participant
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This topic contains 8 replies,
has 5 voices, and was last updated by Dow Jones
5 years, 7 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 07/11/2020
Status: Active
Attachments: 2 files
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