I have noticed in reviewing system test results that if orders are set to be entered on the close, the system tester will exit on the same price bar if any stop criteria are met, jumping "back in time" to exit on the same bar which was entered at the close, using prices not present in subsequent price bars. This is true for a large number of tests I've run, discovered only after reviewing the position entry and exit times and prices, and looks like a real error in the program to me.. Wah.... Any advice appreciated..
Thanks
:)