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.




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at 03/31/14 10:05 AM : RE: Friday Close vs Monday Open

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?

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