My portfolio trading system (1-min data) generates multiple signals
during the first few minutes of the day, i.e., between 9:30-9:35. I
want
to open new positions all at the same time, at 9:35 AM, i.e.,
delay all
entries until 9:35AM, so that I can use Real-Time Position
Scoring. And,
this is the challenge, I do not want to trade any days
with less than 5
signals.
How do I make the Portfolio
Backtester only trade days with at least 5
signals and skip days which
have less than 5 signals during the first 5
minutes?
I am
looking for a simple, non-CBT, solution. TIA for any ideas you may
have!
herman