I have backtested my futures (E-mini) strategy on months of data and have been trading it live for a few weeks. Today, I had my order in and price managed to trade at my entry price. Unfortunately, I never got filled. In theory this trade should have been a winner but it wasn't. This screws up all my stats obviously. By looking back on my stats, I realized this scenario could happen a lot and probably every time the MAE (how much price moves against me) is 0. This is a case where price trades at your entry and just goes up without going against you even a single tick. If I remove all those winners from my stats then the results will suffer greatly. I can't see too many options besides using other order types besides a limit order, but then there will be a cost. I trade with NinjaTrader and there are many different order types. How do you guys deal with this in your backtesting and then in real life trading ?
For my strategies that aren't meant to last seconds or minutes, I always market in or do a limit cross when price gets to me. Edge is big enough that I don't care about losing the spread.
im not %100 sure exactly what scenario you are talking about, but how about trying MARKET IF TOUCHED order, so if price trades just one time at that price of trigger, then open market oder, may get that price or a tick off, but better than not being filled at all.
bespoke - what's a limit cross ? jtnet - Thanks, I will look into the Market If Touched order. My scenario is the following : before the open, I identify an area of support and put in a buy order. NinjaTrader's ATM takes care of managing my trade once it gets filled. The problem I see with using another type of trade than limit is my stop and target which gets automatically put into the market by the ATM is based on the entry price. This means my stop which is supposed to be at a significant level will be at a different price. The solution I guess would be to modify it manually based on the entry price (e.g. if my fill price is 2 ticks above my intended price than I could move my stop down manually 2 tics so it stays at my intended price). There are so many things one has to check to make sure his backtested strategy will reflect as closely as possible the live trades results.