I use EOD data and am having a problem with the backtest entering positions I would never be able to enter.
Position size is set to -10 so that I can have a maximum of 10 open positions. My Buy and Sell signals are limit orders. The problem is that if I have 10 positions at the start of the day and I get a sell signal and a buy signal on the same day, the backtest assumes I sell and have an open slot and fill that slot the same day with the buy signal. Well, in reality, that can only happen if the sell signal triggered before the buy signal which is rarely true. I want the backtest to not enter any new positions freed up by a sell on that same day. Is there any way to do that?
