I tried to build a bollinger band buy-strategy with stop-loss 12% order, for one stock which seems to work.

def initialize(context):  
    context.azo = sid(693)  
    context.stop_loss_pct = 0.12  
    context.order_cost = 0  
    context.position = 0  
    schedule_function(check_bands,date_rules.every_day())  
def check_bands(context, data):  
    price = data.history(context.azo,'price',1,'1d')  
    ytd_close = price.mean()  
    prices = data.history(context.azo,'price',20,'1d')  
    avg = prices.mean()  
    std = prices.std()  
    lower_band = avg - 2*std  
    upper_band = avg + 2*std  
    if context.position == 0:  
            if ytd_close <= lower_band:  
                context.order_cost = ytd_close  
                context.position = 1  
                order_target_percent(context.azo,1.0)  
                print('BUYING')  
            else:  
                pass  
    elif context.position == 1:  
            if ytd_close >= upper_band:  
                context.order_cost = 0  
                context.position = 0  
                order_target_percent(context.azo,0.0)  
                print('SELLING')  
            elif ytd_close <= context.order_cost * (1 - context.stop_loss_pct):  
                context.order_cost = 0  
                context.position = -1  
                order_target_percent(context.azo,0.0)  
                print('STOP LOSS')  
            else:  
                print('CONTINUE IN POSITION')  
    elif context.position == -1 and ytd_close >= upper_band:  
         context.position = 0  
    else:  
         pass  
    record(upper=upper_band,  
           lower=lower_band,  
           mavg_20 = avg,  
           price = ytd_close)  

But when I tried to modify it to apply to a portfolio of 10 stocks, the stop-loss and sell function seems do not work.
See if anyone could help on it. Thanks.

def initialize(context):  
    context.stocks = [sid(693), sid(16178), sid(21935), sid(7792), sid(2170), sid(32146), sid(8857), sid(1787), sid(3496), sid(24873)]  
    context.stop_loss_pct = 0.12  
    context.order_cost = 0  
    context.position = 0  
    schedule_function(check_bands,date_rules.every_day())  
def check_bands(context, data):  
    for stocks in context.stocks:  
        prices = data.history(stocks,'price',20,'1d')  
        price = data.history(stocks,'price',1,'1d')  
        ytd_close = price.mean()  
        avg = prices.mean()  
        std = prices.std()  
        lower_band = avg - 2*std  
        upper_band = avg + 2*std  
        if context.position == 0:  
           if ytd_close <= lower_band:  
              context.order_cost = ytd_close  
              context.position = 1  
              order_target_percent(stocks,0.1)  
              print('BUYING '+ str(stocks))  
           else:  
             pass  
        elif context.position == 1:  
           if ytd_close >= upper_band:  
              context.order_cost = 0  
              context.position = 0  
              order_target_percent(stocks,0.0)  
              print('SELLING '+ str(stocks))  
           elif ytd_close <= context.order_cost * (1 - context.stop_loss_pct):  
                context.order_cost = 0  
                context.position = -1  
                order_target_percent(stocks,0.0)  
                print('STOP LOSS '+ str(stocks))  
           else:  
                print('CONTINUE IN POSITION '+ str(stocks))  
        elif context.position == -1 and ytd_close >= upper_band:  
             context.position = 0  
        else:  
              pass  
        record(upper=upper_band,  
               lower=lower_band,  
               mavg_20 = avg,  
               price = ytd_close)