Backtesting
Tuesday, June 25th 2019
Backtester Basics: Defining Specific Trades on Specific Days
With the Symbol, Entry Date & Exit Date, a series of trades can be specified by the user for such things as technical indicators or just wanting to trade on a consistent day of the week.
Summary
The Backtester Basics article explains how to define specific trades on specific days using the Symbol, Entry Date & Exit Date. Care must be taken to ensure the backtest matches the desired input, as sometimes more trades take place than specified or the backtester skips days. The article also discusses the Exit at Signal option and provides examples for trading on specific days of the week.
With the Symbol, Entry Date & Exit Date, a series of trades can be specified by the user for such things as technical indicators or just wanting to trade on a consistent day of the week.
Here is a sample of Symbol, Entry Date & Exit Date.
Care must be taken to set up the trade so you get what you want to occur in the backtest. Sometimes more trades take place in backtest then specified in the input. Other times the backtester skips days specified, and trades several times on the other days.
If the backtester exits the trade before the specified exit date, it will open another trade until the exit date is passed. For example, if the entry date is 1/3/2007 and the exit date is 1/31/2007 and the trade enters on 1/3/2007 and exits on 1/20/2007, another trade will be sought to open on 1/20/2007. This is why you might see more trades take place in backtest then specified in the input.
If the backtester does not find a trade on a specified day it will keep looking forward until one is found. For example, if there are no trades meeting your entry criteria of days to expiration and delta, no trades will be found for that day. This might look like the backtester skips days specified but there were no trades meeting the entry criteria. If you only wanted to trade, for example, on a Monday, you might wonder why the backtest has trades on other days.
There may be times when a date range can overlap another date range and put on the same trade twice. This is not a big problem however because the daily returns for more than one trade are averaged (not added) so the same effect can occur from two trades on averaging both as one trade on. You can see our Backtester API for more discussion about methodology and calculation.
After you paste the Symbol, Entry Dates & Exit Dates into the symbol box, you can select Exit at Signal. If selected, an open trade will exit at that exit date. If not selected the trade will continue to expiration or until another exit rule is triggered.
If your aim is to trade on a specific day of the week and not trade if a trade is not found, then try this technique. Choose the entry dates as the day of the week you want to open, below is Monday, Wednesday and Friday. The add one in the cell to the right of each entry date. Be sure not to click 'Exit on Signal' as every trade would exit this next day.
Here are some other references:
Disclaimer:
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