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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?
Maybe somewhere - don't know.
> Is this the preferable way to create equal data points in each
> market?
IMO not. Because by generating artificial bars (e.g. same OHLC then
the last one) you will also change indicators which refer to previous
datapoints.
So you will have different indicator values if you look at a single
market system vs. the same system combined with other market systems
(with different holidays).
IMO the correct way should be, that the portfolio analysis program
handles these cases!
Christian
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