Author Topic: Backtesting Assumptions  (Read 1802 times)

steven fastuca

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Backtesting Assumptions
« 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?


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Re: Backtesting Assumptions
« Reply #1 on: April 08, 2015, 08:46:40 am »
The backtester works with end-of-day close prices (assumes fill on close prices).