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At the risk of being short down in flames. :-)
I discovered a problem in my own code of one of my systems so I decided to
test a very simple idea to see why it was happening.
The Buy rule is buy when todays open is equal to yesterdays low or high
price.
Sell day after entry.
The following code produces open positions that go for months, most that are
only one day and millions entries are never when open opens at low or high.
EqualOpenLow= IIf(Open = Ref(Low,-1),1,0);
EqualOpenHigh= IIf(Open = Ref(High,-1),1,0);
Buy = EqualOpenLow;
Sell = BarsSince(Buy==1);
SetTradeDelays(0,0,0,0);
Short = EqualOpenHigh;
Cover = BarsSince(Short==1);
SetTradeDelays(0,0,0,0);
Result on DD for period 16/01/2001 to 18/6/2004 is;
Entry 4/10/2002 and exit 11/12/2003
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