EnterLongLimit & Backtesting

[maxsys]

I am working on a basic scalping strategy and am using EnterLongLimit(RangeHigh) to get in. I also use SetProfitTarget() and SetStopLoss() for exits.

When backtesting, even though the price comes no where near RangeHigh over the previous 15 minutes, the trade is placed and then the stoploss ensues. Backtesting is placing a trade outside the High/Low range.

I think it will work better live, but am puzzled why this behavior is occuring.

Thanks.

[NinjaTrader_JoshP]

maxsys,

The fill algorithm in backtesting is designed to be the most conservative approach possible. This is likely the behavior you are seeing.