Help with Correctly Coding Stop Loss in thinkScript - Positions Not Closing Reliably

[Taka]

Title: Help with Correctly Coding SL and TP in thinkScript - Positions Not Closing Reliably

Hello everyone,

I'm working on a thinkScript strategy for trading /MNQ futures, and I'm having issues with the stop-loss logic. Sometimes, the stop-loss order does not trigger as expected, leaving positions open when the price hits or crosses the stop-loss level. I suspect the issue might be related to how I'm defining the conditions or the order execution in thinkScript, but I could use some expert eyes to pinpoint the problem and suggest a fix.

Below is the relevant code snippet for position management, including the stop-loss and take-profit logic:

# Position Management
# Calculate fixed stop loss based on risk percentage
def accountSize = 10000;  # Example account size
def maxRiskPercent = 1;   # 1% risk per trade
def maxRiskDollars = accountSize * (maxRiskPercent / 100);
def contractSize = 1;     # 1 contract for /MNQ
def pointValue = 2;       # $2 per point for /MNQ
def stopLossPoints = Max(1, maxRiskDollars / (contractSize * pointValue)); # SL in points, minimum 1 point
def takeProfitPoints = stopLossPoints * 2; # Example: 2:1 reward-to-risk ratio

def isLong = GetQuantity() > 0;
def isShort = GetQuantity() < 0;

# Entry orders with commissions
AddOrder(OrderType.BUY_AUTO, finalBuySignal, open[-1], 1, Color.GREEN, Color.GREEN);
AddOrder(OrderType.SELL_AUTO, finalSellSignal, open[-1], 1, Color.RED, Color.RED);

# Stop loss and take profit for LONG positions
AddOrder(OrderType.SELL_TO_CLOSE, isLong and low <= EntryPrice() - stopLossPoints, EntryPrice() - stopLossPoints, 1, Color.RED, Color.RED);
AddOrder(OrderType.SELL_TO_CLOSE, isLong and high >= EntryPrice() + takeProfitPoints, EntryPrice() + takeProfitPoints, 1, Color.GREEN, Color.GREEN);


# Stop loss and take profit for SHORT positions
AddOrder(OrderType.BUY_TO_CLOSE, isShort and high >= EntryPrice() + stopLossPoints, EntryPrice() + stopLossPoints, 1, Color.RED, Color.RED);
AddOrder(OrderType.BUY_TO_CLOSE, isShort and low <= EntryPrice() - takeProfitPoints, EntryPrice() - takeProfitPoints, 1, Color.GREEN, Color.GREEN);

The issue occurs intermittently: when the price reaches or exceeds the stop-loss level (e.g., low <= EntryPrice() - stopLossPoints for longs), the SELL_TO_CLOSE or BUY_TO_CLOSE order doesn't always execute, and the position remains open.

Are there best practices for coding stop-losses in thinkScript to avoid missed executions, especially for futures like /MNQ?

Any suggestions for improving the code or debugging this issue would be greatly appreciated. If you need more context (e.g., the full strategy code or how finalBuySignal/finalSellSignal are defined), let me know, and I can provide additional details.

Thanks in advance for your help!

 

[rad14733]

@Taka Greetings... I am assuming that you are referring to using a Strategy for testing purposes as they do not perform actual trades...

That being said, Strategies for testing do not always reflect the same performance as live trades because the Strategy only fires Buys and Sells after the candle closes... This point in itself demonstrates how unreliable the actual use of Strategies is if trying to base live trades off of Strategy signals... I have all but given up on utilizing the Strategy feature within TOS for the reasons mentioned...

Also, your image is too small to be of any benefit... It also doesn't display any Buy or Sell orders based on your Strategy...

Before we delve further into this code, please explain what your intentions are for this Strategy code... Is it for proof of concept or are you considering basing live trades off of the signals produce - which I would strongly advised against for the reasons provided...