How do you follow a strategy that's reballanced on a daily basis?

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1

Hey, on Monday morning I had a day trading strat reballanced at open pull up Disney as a buy, so I bought it that morning at open because I’d backtested a strategy that uses information at “next open”.

When I look at the backtest over the week, P123, using data from this sample “Rank data as of 10/09/21, Start Date: 10/12/21, End Date: 10/13/21” shows that Disney showed this pricing "1
DIS Walt Disney Co (The) 173.13 173.13 0.00 " Implying that Disney opened at 173.13 and closed at 173.13, and that the backtest would have bought it at 173.13.

I’m super confused, when I bought Disney on Monday as a result of it being the screened stock that morning, it opened at 176, and yahoo finance doesnt record a single at open day as 173.13, the October 12th close is 173.13. the closest open would have been Tuesday’s open at about 173.6.

How would you typically go about following a strategy that’s reballanced daily at open, are you buying the stock that was in your screen yesterday, at today’s open - or would the process be something along the lines of, screen stocks on P123 30 minutes before market open, place at market order for the stock that showed up for the day, and repeat?

Thanks

2

It looks to me like what you’re seeing is a terminal value. Disney closed at $173.13 on October 12, and that was the last known price as of yesterday, October 13.

The “Next Open” is the price at which transactions happen in the backtest, not the final value of positions. You are, generally, looking at the prior day to make decisions and then transacting with the next day’s price.

When you’re acting on the recommendations you’re looking at yesterday and then getting an execution price presumably from your broker. If you intend to transact at the open, then yes, the best practice is to get recommendations that morning before the open and then submit those transactions to your broker.

You can see the transactions in a screen backtest, by the way, by checking the Save Log box on the backtest page. You’ll see a log there, which I warn you is very computery. But you should be able to find the actual transaction in there.