I have been confused recently as to why some of my backtests tests on NT show significant losses in programs that have no stop losses set yet. Can anyone help clear this up for me?
Reasons I have investigated so far were:
1) The target is so tiny it produces a net loss (losses too larger, not the case).
2) A contract rolls over and this causes NT testing to close it out (not the right dates, does this happen?)
3) Error in setting the targets (confirmed not the case, only happening once in every 200 trades of simplistic strategies).
4) OCO causing losses on the exchange of direction (no OCO set and confirmed not happening).
5) Session exit (not set for this and confirmed not happening)
I don't see any clues in the trades, executions, orders.
Any other ideas for me to investigate or where to look? I must be missing something obvious. Couldn't find anything on the boards. Thanks!