If Close > Close and High > High and Low > Low
Then Sell This Bar at Close;
If BarsSinceEntry=2 Then ExitShort this bar at Close;
The resultant system has the same frequency of trades as the original faulty system, but the holding period (and risk exposure) is reduced to just 2 days . . a holding period I can live with. This is actually an attractive system to me as with the corrected code, the system has a relatively low intraday drawdown, a good max winners/max losers ratio, and trades on an average of once a week. If nothing else, the system should serve as a warning to momentum trades who still like to buy new highs.
Thanks again Ramon.