Gap Protection¶

The Problem¶

In volatile markets, the next bar's open can gap past your stop loss or take profit level. If you always fill at the exact level, you're giving yourself a better price than the market actually offered.

How replaybt Handles It¶

The engine checks the bar's open price first, before checking high/low:

Bar opens
│
├─ Open gapped past SL? → Exit at OPEN (worse fill)
├─ Open gapped past TP? → Exit at OPEN (better fill than expected)
│
├─ Otherwise, check High/Low:
│  ├─ High/Low hit SL? → Exit at SL level
│  └─ High/Low hit TP? → Exit at TP level
│
└─ No exit triggered → position stays open

The 4 Cases¶

LONG Position¶

Scenario	Exit Price	Reason
Open gaps below SL	Open price (worse)	`STOP_LOSS_GAP`
Low touches SL intra-bar	SL level (exact)	`STOP_LOSS`
Open gaps above TP	Open price (better)	`TAKE_PROFIT_GAP`
High touches TP intra-bar	TP level (exact)	`TAKE_PROFIT`

SHORT Position¶

Scenario	Exit Price	Reason
Open gaps above SL	Open price (worse)	`STOP_LOSS_GAP`
High touches SL intra-bar	SL level (exact)	`STOP_LOSS`
Open gaps below TP	Open price (better)	`TAKE_PROFIT_GAP`
Low touches TP intra-bar	TP level (exact)	`TAKE_PROFIT`

Example¶

# LONG position entered at $2,000 with SL at $1,930 (3.5%)
# Bar opens at $1,920 (gapped below SL)

# WRONG: exit at $1,930 (the SL level)
# CORRECT: exit at $1,920 (the actual open price — worse fill)

Adverse Slippage on Exits¶

After determining the exit price, adverse slippage is applied:

LONG exit: price moves down (you receive less)
SHORT exit: price moves up (you pay more)

# Exit price = $1,920 (gap)
# Slippage = 0.02%
# Actual fill = $1,920 * (1 - 0.0002) = $1,919.62

Why This Matters¶

Without gap protection, backtests overstate performance on volatile assets. A strategy that shows +50% might actually produce +20% when gap-through exits are properly modeled.

The exit_breakdown in results tells you how many exits were gap-triggered:

results = engine.run()
print(results.exit_breakdown)
# {'STOP_LOSS': 15, 'STOP_LOSS_GAP': 3, 'TAKE_PROFIT': 20, 'TAKE_PROFIT_GAP': 1, ...}

Gap variants (_GAP suffix) are collapsed in the summary display but tracked separately in the raw breakdown.