Maybe trailing stop will crash the trading system

At market open I'd like to check if current price jump 3% higher than yesterday's close, If so, I will set contest.TrailingStop = True And then price is monitored, if price continue to rise another 2%, all short position will be cleared. using the following code.

def handle_data(context,data):  
    if context.TrailingStop == True:  
        current = data.current(context.VXX,'price')  
        exchange_time = get_datetime('US/Eastern')  
        #log.info("realtime {}".format(current))  
        #if exchange_time.date() == context.startDate :  
           # log.info("realtime {}".format(current))  
        if current>context.stop:  
            rebalance(context.sidsLongVol, data, 0.0)  
            return

And trailing stop monitor will be canceled using contest.TrailingStop = False at market close . During the backtest one day when the trailing stop order is triggered unexpected behavior just happened. The algorithm keeps selling and buying causing a dramatic loss in one day. Check the transactions in the plot [Big loss just happened ][1]

[1]: http://i.imgur.com/Y83boTx.png

The tricky part is when I begin the backtest from 2011/01/01 , the big loss happened.
But if i begin the backtest after 2012, the codes works correctly. I am confused now. I can't imagine what will happen if I use real money

def handle_data(context,data): if context.TrailingStop == True: current = data.current(context.VXX,'price') exchange_time = get_datetime('US/Eastern') #log.info("realtime {}".format(current)) if exchange_time.date() == context.startDate : positions = context.portfolio.positions VolPosition = positions[context.VXX].amount log.info('position {}'.format(VolPosition)) #log.info("realtime {}".format(current)) if current>context.stop: rebalance(context.sidsLongVol, data, 0.0) context.TrailingStop = False

Without seeing the whole backtest, I'm going to guess that the key change was to add context.TrailingStop = False after you place the order to close your position.

There is no guarantee that your order will be filled in the next minute, and your code was set to keep placing an order every minute. Those orders all stacked up, I bet, and then your position got way overloaded in the other direction when they filled. By setting your flag to False you ensured that only a single order would be placed.

You should probably keep digging on what that shows you. Trading in those ETFs can be deadly. It's predictable, until it isn't. I'm guessing you hit the August 24th trading date when ETF pricing fell to pieces for most of an hour.