The gap open is both the bane and the joy of the system. Very often, the system might go long a stock one day before
some good news comes out that gaps the stock up a point or more at the next day's open. Or the system might go short a stock
a day before some bad news tanks the stock.
That's the good aspect of the gap open, and when it happens, do nothing and enjoy it.
However, there are times you might be long a stock and bad news comes out that causes a sharp selloff at the open, and
the opening price gaps over your stop.
If you have a pure stop in place, you will get filled at or near the opening price.
This is where a pure stop may be a disadvantage, as sometimes the opening price is the low price of the day,
and by the close the stock manages to fill the gap.
But just as often, the opening price might be the high of the day,
and exiting at the open will be best.
When a gap open goes against your trade and you have a stop-limit in place, rule #1 is --- do not panic.
Very often, the opening trades are the result of stops getting hit that dictate trades at-the-market rather than a limit price, which often spikes the stock down a little further from its open. But then the stock will often begin to retrace. The key is the opening price.
If the stock trades above the opening price, set a stop just below it. And if the stock trades back up to where your original stop was set, get out there and then reverse. Should it never reach that point but it never trades back down below the opening price, wait for the close, and then get out.
If the stock opens and never retraces any of the gap within the first 30 minutes, and if it never even gets back to the opening price, just get out and take the loss.
Another factor is the market itself. If the gap open is not stock-specific (or sector-specific) from some earnings news, that is all the more reason to be patient sometimes. If your position is primarily trading with the market and there is no other news to account for its movement, it has a better chance of filling the gap at some point during the day.
The main thing is, even though the gap prevented the stop from getting hit and giving you a graceful fill on the exit, the system is still saying "exit the position". Don't hold a loss overnight if it's going to close below your stop.