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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.

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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:

The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors.

All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice.

Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein.

Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only.

Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional.

Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein.

Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading.

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The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see our disclaimer.
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