Hi,
Am backtesting a Vectorial system from this wonderful site. Sorting the results by MFE there are a number of trades with a value of 0, showing that once the position was taken it immediately become loss making and subsequently closed for a loss.
I am trying to insert a a piece of code to eliminate these trades using a Buy (or SellShort) Stop order however, I still get trades with an MFE value of 0. I have ticked ‘ProBacktest in tick by tick mode’, am using a spread of 2.4 points for the DOW and set the value EntrySpread to 11 to be sure to clear the spread. Please can someone suggest where I might be going wrong?
Thank you very much
EntrySpread=11
//ENTER LONG POSITION
IF CONDBUY THEN
buy positionsize contract at close[1]+EntrySpread stop