Hi PS, glad you confirm it. Btw I'm also using the same trick when available.
paolo --- In [email protected], "vlanschot" <vlansc...@...> wrote: > > Paolo, I can confirm your findings. In general I have therefore scaled back > on using it (recoded it), and in those instances I continue to use it I make > sure I use a "close to" 24 hr security (i.e. Euro) to limit the nr of holes. > > PS > --- In [email protected], "Paolo" <pcavatore@> 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 > > >
