A horror story is sort of like Norse mythology. In the end the gods die. No one escapes. It's grim stuff, but so is horror.
Many horror stories, it seems to me, are about people discovering this underlying truth. They do their best to escape their fates, and they often do, but they are forever scarred by the experience. Once they know the truth, they'll carry it with them until the end. Some of my favorite horror stories really emphasize the "living with the knowledge" theme, like "Young Goodman Brown," or "The Music of Eric Zahnn." The end of Lord of the Rings, for Frodo, is a kind of horror story. He's too intelligent, and he's seen too much, to be able to go back to the Shire like Sam can (although I wonder if Sam has nightmares).
A weird thing has happened to horror tropes, I've noticed, which is that they've been trivialized. The monster, the vampire, the werewolf have become popular icons. Buffy slays them, but in many stories they are losing their capacity to carry the horror theme. Bram Stoker's Dracula was frightening because most readers hadn't considered the possibility of an undead force actively seeking the most innocent. It was a creepy idea.
Effective horror has to awaken the knowledge in the reader that their world isn't safe. The threat is present and unrelenting.
There are no completely happy endings. The threat may be pushed back, but it's not gone.