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take profit and stop loss behavior #242

Answered by kernc
nkami asked this question in Q&A
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Hey, I was wondering what happens if you set both take profit and stop loss on an order, and the next candle fluctuates in a manner that should trigger both. What gets priority according to the backtest? (given the fact we cant know the order of events within the candle).
For example: you set a market order with tp=2 and sl=1, and the next candle has high=3 and low=0.
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If you enter with a plain market order, SL has priority (the framework takes an adversarial, rather than an optimistic stance).

If you enter with a stop/limit order, a warning is emitted:

elif (low <= (order.sl or -np.inf) <= high or
low <= (order.tp or -np.inf) <= high):
warnings.warn(
f"({data.index[-1]}) A contingent SL/TP order would execute in the "
"same bar its parent stop/limit order was turned into a trade. "
"Since we can't assert the precise intra-candle "
"price movement, the affected SL/TP order will instead be executed on "
"the next (matching) price/bar, maki...

Replies: 1 comment 1 reply

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If you enter with a plain market order, SL has priority (the framework takes an adversarial, rather than an optimistic stance).

If you enter with a stop/limit order, a warning is emitted:

elif (low <= (order.sl or -np.inf) <= high or
low <= (order.tp or -np.inf) <= high):
warnings.warn(
f"({data.index[-1]}) A contingent SL/TP order would execute in the "
"same bar its parent stop/limit order was turned into a trade. "
"Since we can't assert the precise intra-candle "
"price movement, the affected SL/TP order will instead be executed on "
"the next (matching) price/bar, making the result (of this trade) "
"somewhat dubious. "
"See https://github.com/kernc/backtesting.py/issues/119",
UserWarning)
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1 reply
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Thank you!
Answer selected by nkami
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