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Dave,
Have you figured out a way to know what positions are currently on, and how many bars they have been on while rotational trading?
Thanks,
Gary
Dave Merrill <dmerrill@xxxxxxx> wrote:
How about:
Sell = my_sell_signal AND (BarsSince(Buy) >= min_hold_bars);
That won't work if you're using rotational trading, because there aren't any
Sell signals.
Dave Merrill
Is there an AFL function for backtesting that restricts trades to a
minimum holding period? New mutual fund rules have 30, 60 and
sometimes 90 day hold restrictions. Would like to account for this
in backtesting.
Thanks!
-Eric.
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