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I've created a relatively simple trailing stop loss exit strategy which sets a trailing 10% stop loss. When backtesting this strategy against MSFT over the 2020 time period, I am hitting a puzzling issue.
The stop order gets correctly updated with the trailing stop price during the 1/1-2/13 time period where MSFT is increasing from 160 to 188. The stop loss is set to 169. Then on 2/14, the stock price moves to 183. However, the stop loss executes! I've tried debugging this multiple ways, but am unable to get an idea.
I tried plotting the OHLC data for MSFT, and that shows that the price doesn't drop to 169 at all during 2/14.
I've attached my code and backtest here. Would appreciate ideas.
Shile Wen
Hi Sid,
From printing the OHLC data, we can see that MSFT drops down to 160.562775 for the low on 2/14.
Best,
Shile Wen
Sid Mathur
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