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I recently read that in order to do portfolio analysis of a system, each
market must have the same number of data points. The problem is that the
holidays differ across some markets. I'm using TS to create ascii files of
daily O,H,L,C which are imported into another program to perform portfolio
testing. Is there a code to have TS fill the empty holiday bars with the
previous day O,H,L,C? Is this the preferable way to create equal data points
in each market?
Thanks,
Trey
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