I have noticed that in back testing, RW uses Friday's close price as the entry vs using Monday's open where as it is only possible to make live trades with a strategy on Monday's open. (data used to make trades on Friday close is not available to the screener until AFTER Friday close.) Though this does not seem like a huge deal, I have noticed there can be quite some 'drag' on the more successful strategies resulting from market gap up between Friday close to Monday open. - In one strategy I have found this to be on the order of ~.3% per period on average which can be pretty huge!

 

So is possible to have the RW produce the weekly screen before Friday close? My strategy uses a "- 1Week", "Top#"  criteria, so simply running the screen on Thursday does not produce the desired results. I would love to be able to reduce this 'drag' as much as possible so any help would be appreciated.

 

Thanks,

Tom


Attach file (image (.gif, or .jpg), screen (.und) or report (.rpd))
Robert
at 03/31/14 10:05 AM : RE: Friday Close vs Monday Open

yogiM
at 10/18/16 3:24 PM : RE: Friday Close vs Monday Open


Have you compared a back-test period to a virtual trading account, same time period of  the back-testing, buying on Mondays opening and selling those that are not still in the screen the following Monday at its opening and buying its replacement?


Attach file (image (.gif, or .jpg), screen (.und) or report (.rpd))

For questions or more information or to Order Today, call 1-800-767-3771, ext. 9392 or 1-312-630-9890, ext. 9392
You can also e-mail our Sales Support at: kevinm@zacks.com
Copyright 2012
Zacks Investment Research
111 N. Canal St., Suite 1101, Chicago, IL 60606
(800) 767-3771 ext. 9392