If you have data holes, then I don't see how not using rotational mode fixes your problem. Perhaps I don't understand your problem because I'm not sure what you mean by "month-end rebalancing signals are incorrectly interpolated."
--- In [email protected], "Paolo" <pcavat...@...> wrote: > > 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 >
