Exactly when are TradeMachine® trades actually placed?

Question: Exactly when are TradeMachine® trades actually placed? When do rollovers happen?

All TradeMachine® trades happen based on prices that are available right before market close on the simulated day of trading. This is when the markets are most liquid and the prices most representative.

To understand the details of how positions are opened and rolled, we'll walk through some examples and explain how it works step by step:

For this example, we'll say today is March 20, 2017. We'll be doing an options backtest where the options have an expiration of 30-days, ie rollover = 30. We'll do an option backtest that runs for 2-years.

The initial trade to open the position would be placed 2 years ago on March 20, 2015. On that date, the backtest would look for options that are around 30 days from expiring. If no options are expiring right around 30 days out from March 20 '15 (~ Apr 19 '15), it would pick the next closest expiration. This could be options that expire in 25 days or 35 days, or whichever others are closest.

Then, the backtester would hold those positions until expiration and track their performance along the way. On expiration, the current position would be sold, and a new position would be opened. The new position would look for options that are about 30 days from expiring, and would choose whichever expiration is closest. Then, the logic would repeat.

If "never trade earnings" is selected, the logic would be similar, except the position would be closed 2 days beore earnings, and reopened 2 days after. Specifically, 2 days before earnings the position would be sold. The TradeMachine® would then wait until 2 days after earnings, when the position would be reopened. When the position is reopened, the TradeMachine® would again look for options around 30 days to expiration.