Just wondering if anyone has ever noticed that backtestRotational doesn't work properly when dealing with data holes.
These are quite frequent for instance at month-end across different international asset classes. Using the "Pad and align to reference symbol" doesn't always fix it properly since month-end rebalancing signals are incorrectly interpolated. This is just the last issue I've had with backtestRotational. My general experience is that backtestRotational is theoretically very useful but I often have to go back to code it using regular Backtest to make it work the way I need. In this case month-end signals are correct no matter of data holes. Just curious to know others' feedback. Paolo
