As you know, not all expiry days fall on Thursdays (considering Nifty & Bank Nifty only).
Therefore, if I am designing a strategy which is to be run only on Expiry days then backtest may not consider certain days which were expiry days (for e.g. Wednesday / Friday).
This holds true for all indexes and especially now as new indexes get added which have different expiry days and also there are proposed changes to expiry days for existing indexes which will be difficult for the user to consider while backtesting for multiple years.
If the Expiry Days filter is added then the system could automatically run the strategy for all historical expiries regardless of whether they fell on the designated day of the week or were different or were changed by the exchange in history.
