Pair Trading Lab Helpdesk & Forum

Pair Trading => Models, Algorithms & Approaches => Topic started by: steven fastuca on April 07, 2015, 01:49:50 pm

Title: Backtesting Assumptions
Post by: steven fastuca on April 07, 2015, 01:49:50 pm
When backtesting a pair, is the algo assuming the open price of both stocks as the execution of the spread?

Title: Re: Backtesting Assumptions
Post by: admin on April 08, 2015, 08:46:40 am
The backtester works with end-of-day close prices (assumes fill on close prices).