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I use EOD data and am having a problem with the backtest entering
positions I would never be able to enter.
Position size is set to -10 so that I can have a maximum of 10 open
positions. My Buy and Sell signals are limit orders. The problem is
that if I have 10 positions at the start of the day and I get a sell
signal and a buy signal on the same day, the backtest assumes I sell
and have an open slot and fill that slot the same day with the buy
signal. Well, in reality, that can only happen if the sell signal
triggered before the buy signal which is rarely true.
I want the backtest to not enter any new positions freed up by a sell
on that same day. Is there any way to do that?
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