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Hi Skate,

I thought about your issue but I don't have much to add. If it's the backtest validity you're concerned about, the only way I can see of fixing it would be to identify weeks where the first day of the week is a padded day and include that as a forward looking condition in your backtest. I'm sure this could be done, but you already have a similar issue where price opens above your buy limit and runs higher. Your backtest still buys on open when in reality you miss the trade. Last I saw you weren't interested in correcting for this as backtests don't mean jack anyway.

I suspect the percentage of trades that are incorrectly shown in the backtester due to the stock being in a trading halt on Monday would be quite few. For a robust system you can check that the performance isn't bing carried by a very small number of outliers. Or, if by design the system is carried by a small number of outliers, at least manually check that those outliers are valid entries.

I am a big fan of having the backtest match reality wherever possible. But it's worth reminding ourselves occasionally that our objective here is to make money, not write code. Sometimes you need to choose your battles and decide how much extra value you get out of writing more code.