I’ve written a strategy and when it opens a position with a limit order it sets two limit orders to sell the complete position at medianprice and high and repeats them until the position is closed.

Sell 1 contract at MedianPrice limit
Sell 1 contract at high limit

I get great results (too good to be true!) but I noticed that they are different depending upon which order I place the limit orders in. At first I thought it was because maybe you can only have one limit order and so it ignores the first one but checking the trades this does not seem to be the case. I tested each limit order on its own and the results are totally different to the combined limit orders so it can’t be that.

Here is the equity curve with the median price limit first in the code followed by the high limit:

[attachment file=”MedianPrice First.png”]

…and here is the same code with the high limit listed first:

[attachment file=”high limit first.png”]

….and the median price limit on its own:

[attachment file=”Just medianPrice limit.png”]

….and the high limit on its own:

[attachment file=”Just high limit.png”]

The entry is at a low price and so should always be below the last bars median price and high so I am a bit confused by the results. I do get a lot of zero bar exits (entry and exit in the same bar) but these appear to be valid when the candles are checked – and yes I do have tick by tick turned on.

Any suggestions what is going on.

MedianPrice-First.png high-limit-first.png Just-medianPrice-limit.png Just-high-limit.png