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Category
Strategy Elements
Description
Specifies how a strategy exits positions when the ExitStop formula is used
Choices
ThisClose - exit at today's close if today's closing price touches or exceeds the stop price (impractical)
Intraday - ExitStop specifies the price of a live stop order to be placed tomorrow (default)
NextOpen - exit at tomorrow's open if today's close touched or exceeded the stop price
NextClose - exit at tomorrow's close if today's close touched or exceeded the stop price
Notes
Using ThisClose with ExitStop equivalent to adding "and C < n", where "n" is the ExitStop price (for a long-side strategy), to the ExitRule of a strategy with ExitTime ThisClose. In either case, orders could not be generated in advance for this mode.
With Intraday, NextOpen, or NextClose ExitStop orders, the trigger price is calculated using the prior bar, and the order can be placed in advance.
A Intraday ExitStop is a standard STP DAY order.
A NextOpen ExitStop is a MKT order that is placed if the prior close touched the stop price.
A NextClose ExitStop is a MOC order that is placed if the prior close touched the stop price.
Note that the Exit Logic of a strategy works differently from its Entry Logic. Specifically, there is always only one Entry order, while there can be up to three Exit orders. The three exit order types each have their own time specifier and function as a "one-cancels-all" order bracket, where the order to logically trigger first becomes the position exit and the others do not.
To implement a trailing stop price, use PrevExitStop in the ExitStop price calculation.
For more information on how the backtest engine works in general, see Backtest Engine Details.
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