It's because of other filters you have in your set-up that you don't see the first new high alert. The #1 in Max alert filter is just for the alerts - it does not take filters into account.
Without seeing your set-up it is hard to understand exactly what you want to do. You can post it here or email it to us at info@trade-ideas.com
Here's a more detailed description of what that Max filter does:
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