Some traders may notice that, securities prices upon which their algorithm has kicked them out of a losing position, return to that same value at some point in the future. The same might be noticed after exiting a profitable run.
An example is Index Futures pricing data. Because futures are to some extent, loosely based on an underlying value, they have a tendency to gap up or down during opening sessions. Models that use absolute values might be triggered during these volatile events. In fact, some old timers go as far as saying Sooner or later, all gaps are filled. This not not merely superstition. There are a number of mathematical theories that support this idea.
So, when setting up your models, you may wish to consider the possibility that, sooner or later, the last price you traded may, at some point in the future, be the next price that becomes available.
