Strange behavior on order entries and trailing stops

Ivanc,

The attached algorithm is very similar to the one I have already posted on your request  and left unanswered by you.

It doesn't have the problems you face in your algorithm.

Why was there no order entered on the 28th of Apr?

2022-04-28T14:02:00Z           SPY         418.96     -238         Market     Filled       -99712.48                 

2022-04-28T15:20:00Z           SPY         421.25     238          Market     Filled       100257.5 Stop Loss 

Why did my trailing stops not update on 4th May? 

2022-04-29T14:19:00Z           SPY         422.58     -234         Market     Filled       -98883.72                 

2022-04-29T16:42:00Z           SPY         418.29     234          Market     Filled       97879.86 Take Profit 

Same question for 5th May - for some reason my stops didn't update until 12:01pm. 

The SPY was trending down pretty hard in the morning so it should've trailed it 

down as it made lower lows.

2022-05-05T14:03:00Z           SPY         420.62     -236         Market     Filled       -99266.32

2022-05-05T14:42:00Z           SPY         416.25     236          Market     Filled       98235      Take Profit                

2022-05-05T14:42:00Z           SPY         416.24     -241         Market     Filled       -100313.84

2022-05-05T16:01:00Z           SPY         411.53     241          Market     Filled       99178.73 Take Profit 

6th May - I'm unsure why there was no order entered. The 30min opening range was broken. 

If functioning correctly I would've entered long and then gotten stopped out.

2022-05-06T14:48:00Z           SPY         411.82     246          Market     Filled       101307.72                

2022-05-06T15:59:00Z           SPY         409.56     -246         Market     Filled       -100751.76              Stop Loss 

9th May - I'm confused on the trailing stop updates here. It continues updating 

until 11:40 am, even though the 1 minute candles were not making lower lows.

2022-05-09T14:10:00Z           SPY         402.96     -250         Market     Filled       -100740    

2022-05-09T19:33:00Z           SPY         398.71     250          Market     Filled       99677.5   Take Profit

If you are satisfied with my answer, please accept it and don't forget to like it

Hi Vladimir - I'm not looking to change my algorithm, just trying to understand why it's not behaving as intended. Your version of the algorithm uses a fixed SL and TP. I use no TP and a trailing stop to get out of positions - it doesn't explain any of the issues or questions I've raised.

Ok, so this is some strange behavior. I ran only for the 28/04 date and you can see in the below attached backtest that there are trades entered for this date.

When I try to backtest using a wider range (which includes the 28/04 date), no trades happen on 28/04 even though the below backtest shows that it should…

I'm a bit lost on why this would happen - any ideas from anyone?

Hi Ivanc

The minute bar EndTime is at :00 of the previous minute (i.e. EndTime 01:00 is the data from 00:00-00:59), so the MAX and MIN indicator will also account for the 16:00:00 bar in the previous day. To solve so, you may set the scheduled event at 10:01 rather than 10:00.

For the 28-4-2022-only algorithm, the MIN indicator is only constructed by the previous 29 minute-bars, so the trade is submitted.

Best
Louis