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What is triggering this stop order?
Bradley Ewers
posted

Hello,

I'm playing around with trailing stops, and I'm noticing some weird triggering behavior. Take the given backtest as an example, on day 1 (2015-02-18) it buys CFI, so at the beginning of day 2 it sets a trailing stop at 20.42. The stop is immediately triggered, even though I don't see any indication that the stop should be triggered (i.e. in this notebook code): 

sid = symbols(['CFI'],symbol_reference_date='2015-02-18')  
pricing = get_pricing(sid,start_date='2015-02-18',end_date='2015-02-19',frequency='minute')  
pricing['price']  
import matplotlib.pyplot as plt  
plt.plot(pricing['price'].index,pricing['price'].values)

Perhaps I'm misunderstanding how stops are triggered? I should note that when it is first observed to be triggered, data for CFI is not populated, so maybe its being errantly triggered due to lack of data? Even then, the last known price is greater than the trigger that was set. Any thoughts?

1 response
Jamie McCorriston

Hi Bradley,

I took a look at your code and from what I can tell, the stop is triggered when the price changes to 20.42, which is consistent with what's returned by get_pricing(). In backtesting, pricing data is forward filled for bars that don't have pricing data (i.e. the NaNs you saw in research will be populated with the previous non-NaN price). Does this help? If not, would you be able to elaborate a little bit on your question?

Cheers,
Jamie

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.