Entry Filters

Entry filters can be used to control when your backtest sits on the sidelines, with no open trade, and waits for the right market conditions to enter a new trade.

These entry filters are only used at trade entry. Once a trade is entered, it will only exit based on the position's exit conditions. It will not exit if your entry filters (defined below) are no longer met.

This comes with optional min and max VIX values. If specified, your backtest position will only open new trades if the current VIX value meets your min and/or max.

This includes optional min and max implied volatility (IV) values for your position's underlying. This IV is measured at-the-money rather than at your specific strike.

Implied volatility changes based on duration. Implied volatility for a strike 1 day to expiration is different from a strike 45 days to expiration, for instance. Our quotes include IV 0, 1, 5, 10, and 30 days to expiration for each underlying. When using IV filters, the backtester will use the IV value that is closest to your position's target days to expiration.

IV is measured and recorded every 30 minutes during the market session.

This includes optional min and max implied volatility rank (IVR) values for your position's underlying. IVR represents the current IV relative to IV over the prior year. It is measured from 0-100% wherein 0 represents the lowest IV recorded over the last year and 100% represents the highest IV recorded over the last year. IVR at 60 would indicate that approximately 60% of the prior year's IV readings were below the current level and 40% over IV readings were above.

We calculate IVR as follows:

Implied volatility changes based on duration. Implied volatility for a strike 1 day to expiration is different from a strike 45 days to expiration, for instance. Our quotes include IV 0, 1, 5, 10, and 30 days to expiration for each underlying. When using IV filters, the backtester will use the IV value that is closest to your position's target days to expiration.

IVR is measured and recorded every 30 minutes during the market session.

This filter will only allow entries after the underlying has moved a certain percent from the prior closing price. You can specify min and/or max % move from close. This is evaluated at the time of trade entry.

In the example brelow, the backtest will only enter a trade once the underlying is 1% below the prior closing price.

This filter will only allow backtest trades after the underlying has moved a certain percent from the opening price. You can specify min and/or max % move from open. This is evaluated at the time of trade entry.

In the example brelow, the backtest will only enter a trade once the underlying is 0.7% above the opening price.

If you would like to avoid or specifically target scheduled economic releases such as FOMC, GDP, NFP (jobs), CPI, or Earnings, you may control that under the Economic Events section for the backtest position. Right now, the only supported events are CPI, FOMC, GDP, and NFP, but we will expand to more events in the future.

Example: Avoid FOMC

In the example below, the backtest will exit any open trades 1 day before FOMC and then wait to re-enter 1 day after FOMC. If FOMC is on a Wednesday, the backtest will close trades Tuesday at market close and then open new trades Thursday at market open (if your other position entry conditions are met).

Example: Trade FOMC

In the example below, the backtest will only enter new trades on the day of FOMC. For FOMC meetings that are on a Wednesday, the backtest will only enter trades the morning of FOMC (if all other entry conditions are met). It will then hold that trade until 2 days later, exiting by market close on Friday.

If you'd like to avoid or trade multiple events, go ahead and toggle as many as you'd like!