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 ?