Enhanced Backtesting Logs Show Why Trades Were Filtered

The new 0DTE and next-day backtester includes enhanced trade logs showing details for if and why any positions were filtered out of the backtest’s results.

Filtering trades gives us added control and customization when backtesting our ideas. The backtested trade log gives us full transparency into why and when trades are filtered so we can better understand our strategy’s performance and set realistic expectations for trade volume and how positions perform under changing market conditions.

The backtester offers a number of optional pre-trade variables to filter positions when backtesting strategies, including trading days, position criteria, market and symbol entry filters, and technical indicators.

Click the ‘Filtered’  link to see a complete list of all filtered trades, the date they were filtered, the reason they were filtered, and the filter’s value at the time the backtested position was simulated.

For example, this backtest filtered for:

• An IV rank above 25
• No trading on FOMC or Friday
• A reward/risk ratio above 400%
• VIX below 20

We can see every instance in which a trade was skipped because it did not pass our entry or position criteria, providing valuable insights into how often the strategy opened positions.