I am by no means a mathematician and need some help on the following. On my previous thread we identified that with my strategy (which required limit orders and limit stops) that the best way to backtest this was making criteria that price had to move through my limit order and only then i can assume my order was filled. Now i am testing if my entries have predictive power or edge so i have simply used the ES market and applied 4 point stop and 4 point target for my strategy. e.g. just for sake of example lets say signal was: entry criteria(0) > high(-5) - gives entry signal so lets assume limit order to buy short limit order was waiting at price high(-5), therefore if it trades through then entry price will be: high(-5). However, if i am simply determining whether or not the entry has any predictive power then should i not just consider: entry criteria(0) >= high(-5) - therefore entry is taken when prices touches high(-5). Again, i am just curious in terms of mathematical principle behind predictive power of an entry point (considering zero slippage and commissions). This is all being tested on intraday basis on 1min chart and goes back to 2007 so i have more than -500,000 bars of 1min data. I then have gone on to get 1200 randomly selected numbers between -500,000 and -1 and then used these randomly chosen bars as entry for my random tests. Max number of trades for this example on both random and system test was 600 trades executed. I have then performed: 50 different random back-test on same set of data - with same time parameters as my actual system and only max two entries per day (same as my system). I have used same 4 point target and 4 point stop. The results were that 45 of the random back-tests were negative. Now my question is if when the random bar is selected then if high(0) > high(-5) then short and entry price will be high(-5). Now again this means price had to move through my limit order point. However, if the entry is purely random and the entry has no predictive power then should it really matter if price has to trade through or not as winners and losers will be random?? Therefore, setting random data entries at high(0 >= high(-5) should have zero bearing on profit over a 50 random samples of data because the entry has no edge and odds are if we were filled at exact limit order every time then some random sets of data might have even more losers and some will have more. When i ran the random backtests with different variables even for entries e.g. sometime i used the close, open, low. I have found this exact result that in some limit order filling every time price is hit sometime improved performance and sometimes made the performance even worse. Now with my actual system, if use entry criteria(0) > high(-5) example then i still have upward trending curve but which is choppy (bear in mind i always thought the targets and stops in my strategy were far more important that my entries) but if i choose in our example: entry criteria(0) >= high(-5) then i get a very very smooth upward sloping equity curve. Mathematically would this mean my entry on this particular market has an edge. Can someone please explain to me if it matters whether price has to trade though my limit order or does this not make a difference just as the random test proved (again i just want the maths behind no overall system design basis)??