Basically when a CrossBelow occurs I enter short with the following formula:
Close[0] + 0.35 * (High[0] - Low[0])
It seems very simple, It works great in backtesting, as you can see from the attached,
however in real time trading the limit orders often are completely different from what
I would expect them to be looking at the high/low/close of the previous bar session.
As an example see below the same code/strategy that in backtesting is leaving a
EnterShortLimit at 131.55, back testing chart below
in real time trading is leaving the order at 131.65,see below my log