OK. I filter out securities that do not trade every day, so I do not have that problem.
BTW, I don't think you are rebalancing with the code below. You are allowing the system to trade only on the last day of the month, but it is not rebalancing. --- In [email protected], "Paolo" <pcavat...@...> wrote: > > I give you a quick example that can help. > > If you want to rebalance at month-end you can code it as below > > PositionScore = IIf(Month() != Ref(Month(), 1), myConditions, scoreNoRotate); > > When using Rotational mode it will check the ranking - positionscore - on the > last day of every month. The point is that some of your securities may have > not been trading on that particular day and your ranking wouldn't be properly > calculated causing erroneous rotation. > > Regular Backtest on the other side is working because doesn't require > comparing the ranking on the very same day accross all securities but you can > calculate the ranking at month end FOR EACH SECURITY no matter which was the > very last trading day for each of them. > > For instance using: > > CorrectPosition = ValueWhen(Month() != Ref(Month(), 1), myConditions); > > and use it for proper buy/sell rules. > > I hope it make it clearer. > > Paolo > > > --- In [email protected], "re_rowland" <rowland@> wrote: > > > > > > 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" <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 > > > > > >
