Backtesting with EnterLongLimit()

[stefy]

Hi

I developed a breakout strategy: if Close[0] > threshold, I want to buy 5 ticks away from the threshold EnterLongLimit(threshold + 5*TickSize).
Often I get entry point absolutely wrong (it buys much higher than the high of the bar). How can this happen?

Thank you

[NinjaTrader_Ray]

The two system fill algorithms are:


Default
An algorithm that takes a conservative and more realistic approach to filling limit and stop limit orders.

• <LI class=rvps1>Limit orders only fill if the limit price was penetrated
• Limit orders are always filled at the limit price specified never better (for example, if a limit order is submitted on bar n, NT will check if the order is filled on bar n+1, if this bar gaps down and the limit order was a buy, the order would be filled at the limit price and NOT the high of bar n+1)

Liberal
An algorithm that takes a liberal approach to filling limit and stop limit orders.

• <LI class=rvps1>Limit orders fill if the limit price was touched <LI class=rvps1>On gap down bars, buy limit orders will fill at the high of the gap down bar
• On gap up bars, sell limit orders will fill at the low of the gap up bar