DTE Filter
Our convenient DTE filter allows you to tailor your approach based on the days remaining until expiry. This feature is designed to optimize and fine-tune your strategy according to the specific distance from the expiry day of the instrument.
What is DTE?​
DTE stands for "days to expiry." In simple terms, you can adjust your strategy based on the number of trading days remaining until the contract expires.
Trading days to Expiry means:​
It only includes trading days and doesn't include weekends and market holidays.
For example:
If Sensex expiry is on Tuesday then Monday will be DTE -1 and Friday will be DTE-2.
If you want to backtest a strategy only on the day of expiry, the distance from expiry is 0 days. This is commonly referred to as "0 DTE." This approach will display the results specifically for the day of expiry for the particular contract.
Let’s take an example of Sensex weekly expiry and assume Tuesday (14th Jan 2025) is the expiry. How are the days selected based on the distance from the expiry in the backtest in the DTE Filter?
| DTE | No. of Days from Expiry | Date |
|---|---|---|
| Day to Expiry = 0 | Expiry day, i.e., Tuesday | 14th Jan, 2025 |
| Day to Expiry = 1 | 1 day before expiry, i.e., Monday | 13th Jan, 2025 |
| Day to Expiry = 2 | 2 days before expiry, i.e., Friday | 11th Jan, 2025 |
| Day to Expiry = 3 | 3 days before expiry i.e., Thursday | 10th Jan, 2025 |
| Day to Expiry = 4 | 4 days before expiry i.e., Wednesday | 09th Jan, 2025 |