Stop losses have always been difficult for me to model on backtesting systems, particularly on overnight holds. However, for a system that is based on intraday trades (I'm using 5 min bars), what's the best way to model a stop loss? My approach would be the following (using a long position as an example): 1) Assuming that I enter long at P(E) and I set my stop at P(S), where P(S) < P(E). For each subsequent 5 min bar, perform steps 2 and 3. 2) If the 5 min bar open B(O) is <= P(S) then set the exit price P(X) at the open less slippage S -- 3) If B(O) is > P(S), then if the 5 min bar low B(L) is <= P(S), then set the exit price at P(S) less slippage -- Since I'm backtesting an e-mini intraday trading system, I'm assuming that the slippage is one tick (.5 for NQ, .25 for ES). Any comments? Would this be the best way to model a stop loss, or is there a better way? Thanks!