- ago
Dear Friends,

May I ask another "newbie" question?

I noticed in the past people have asked about the settings to "Filter Pre/Post Market Data," this is a selection that sometimes shows up on the Strategy Settings page under Advanced Settings, it can be checked or unchecked. There is also a setting in Preferences under Backtest, in the Slippage section, "Adjust Entry/Exit Prices" (can be checked or unchecked).

I have a strategy that buys at market, and sells at market and at stop loss. When I check "Filter Pre/Post Market Data" and/or "Adjust Entry/Exit Prices" it significantly affects the strategy in a negative way (can go from several thousand percent profit to worse than the benchmark). Does this mean that because I didn't allow for the Entry/Exit slippage then my strategy is having overly favorable backtest results? Does not filtering Pre/Post Market Data have a similar affect?

Should I always check the Adjust Entry/Exit Prices when coming up with future strategies to allow for this slippage?

Thank you!
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Glitch8
 ( 12.31% )
- ago
#1
1) Filter Pre/Post Market Data determines whether intraday data is filtered to include only the bars that occurred while the market was "open". For the US stock market it's 9:30am to 4:00pm EST. If you disable this, the data will also include bars that were recorded before and/or after the open. This is called "pre/post market data." Not all brokers support trading pre/post market, and not all providers even supply this data.

2) The "Adjust Entry/Exit Prices" will apply the specified Slippage to your market entries and exits in the backtester. This can help simulate not getting a perfect fill at market open. Personally, I've experienced both negative and positive slippage (at Fidelity brokerage) and typically leave it off for backtesting, but you should try and go with a value that is close to what you experience in your trading.
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