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Strategy DSL — Execution Model

Reference

What the engine does on every bar: protective exits, exit signals, entries, layers and re-entries, sizing and costs, and where every statistic in the result comes from. Backtests and live strategies run this same code.

One bar at a time

Before the first bar the engine computes every series the references over the whole history (each distinct indicator once). Then each bar is processed in four steps. Signals are evaluated on the bar's close and fill at that close; stops and targets are checked against the bar's high and low.

1
Protective exits on the bar’s range
For each position opened on an earlier bar: the stop first (a gap through it at the open), then take-profit targets in order (a gap fills at the open); then the per-entry time exit and max loss, then the intraday square-off. A trailing stop moves for the next bar after these checks.
2
Exit signals
Any that acts closes every open position at the close.
3
Entries
An instant entry on the first bar, then at most one main entry per bar from the entry signals, then at most one entry per layered entry set. Entries open at the close.
4
Equity
Equity is marked to market at the close; the daily loss limit is checked.

ℹ

Note:A position opened on a bar is not checked against that same bar's range — its stop and targets apply from the next bar. A can exit and re-enter on one bar: exits run before entries.

Warm-up has no value

An indicator has no until it has enough bars ((200) needs 200). Until then every comparison involving it is false, so a signal cannot fire during warm-up and a needs one valid bar before it. The result warns when an indicator never produced a value on the — usually a test shorter than its .

When a signal fires and acts

The signal's conditions are evaluated on the bar (in its interval and candle type).
Repetition. A repetitive signal fires on every true bar; a non-repetitive one only on the first bar of each run of true bars. This count is fired in the signal .
Cooldown. If the signal acted within the last cooldownBars bars it does nothing.
. With flow blocks, the first matching if / elif (or the else, or the switch case) decides the action; the signal acts only if that action is its role (entry or exit).
Position rules. An entry also needs room under maxPositions, the open for entries, the daily loss limit not hit, and — when already holding — the re-entry rules. When it opens a position, acted is counted and the cooldown starts.

★

Pro tip:A gap between fired and acted in the signal means the conditions are fine but something after them — , position limit, , — is blocking the .

Adding to positions

Field	Type	Description
reEntry	object	Restricts when the main entry signals may add while a main position is open (without it, any acting adds until maxPositions). cooldown \| grid \| dca (only at a worse price) \| pyramid (only at a better price); maxReEntries; cooldownBars since the last main entry; distance + distanceType ( \| \| ) from the last entry; and spacing.
entries[]	entry set	Layered entry sets with their own signals. Layer k opens only while layer k−1 is open (not opened on this bar), and only once the gap is reached.
layering	"adverse" \| "favorable" \| "any"	Direction of the gap: adverse = price moved against the previous layer (DCA), favorable = in its favour (pyramid), any = either way.
gap	{ type, value }	of, or distance from, the previous layer’s .
exitOverride	object	Per entry set (or for the main entry): its own / takeProfit replacing the global ones, a timeExit in minutes and a maxLoss percent. Exit signals still close every position.

Sizing and costs

Mode	Quantity
fixed	quantity units
percentOfCapital	quantity % of current cash ÷ fill price
riskBased	quantity % of cash ÷ (needs a stop; without one it falls back to and warns)
capitalPerPosition	capital × leverage ÷ fill price

Percent and risk sizes are capped at cash × leverage ÷ price. Every fill moves against you by slippagePercent; each fill pays commissionPercent of plus commissionPerOrder, and a partial close carries its share of the entry fee.

Stops and targets

Field	Type	Description
stopLoss.type	"percentage" \| "fixed" \| "atr"	Distance from the entry fill: percent of price, price units, or × (atrPeriod) at entry.
stopLoss.trailingEnabled / trailingValue	boolean / number	Trails the reached by trailingValue (same unit as the stop; trails a percent of the best price). Only ever moves in your favour. Exits as trailing-stop once it is at or past the entry.
takeProfit.type + value	percentage \| fixed \| riskReward	One target that closes the whole position. riskReward is a multiple of the and is skipped (with a ) when there is no stop.
takeProfit.targets[]	{ type, value, exitPercent }	Several targets, each closing exitPercent of the original size, nearest first (target-1, target-2, …). The rest rides to the stop or an .
maxDailyLossPercent	number	When the day’s equity reaches it, no new entries until the next day. Open positions are not closed.
symbol.sessionMode intraday	session	Positions are squared off on the last bar that ends at or after sessionEnd; entries only between sessionStart and the square-off.

Exit reason	Fill
stop-loss / trailing-stop	the stop level, or the open on a gap through it
take-profit / target-N	the target level, or the open on a gap through it
time-exit / max-loss / session-end	the
signal: <name>	the
end-of-data	the last close (backtests only; a keeps the position)

Where the numbers come from

Result field	How it is computed
trades[]	One per fill that closes: entry / exit time and price, side, quantity, pnl (net of fees), pnlPercent, fees, barsHeld, MFE / MAE %, exitReason, signalId, entryLabel
totalPnl, winRate, profitFactor	From ; profitFactor is gross profit ÷ \|gross loss\| (infinite with no losses)
maxDrawdown(Percent)	Largest peak-to-trough fall of the -to-market
sharpeRatio	Mean ÷ of daily equity returns × √252 (days in the )
exposurePercent	Share of bars with at least one open position
signalStats[]	Per signal: fired (conditions met, after the repetition rule) and acted (opened or closed positions)
warnings[]	Signals that never fired, indicators that never produced a , and target fallbacks, parser warnings

Caution: at the and at stop / target levels assume liquidity. On thin instruments, sizes or fast markets, fills will be worse — set realistic slippage and commission before trusting a result.

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Strategy DSL — Execution Model

One bar at a time

Warm-up has no value

When a signal fires and acts

Adding to positions

Sizing and costs

Stops and targets

Where the numbers come from

See also

Related articles

Appearance

One bar at a time

Warm-up has no value

When a signal fires and acts

Adding to positions

Sizing and costs

Stops and targets

Where the numbers come from

See also

Related articles

Related to Strategy DSL — Execution Model