Hi, does anyone know the AFL for switching between watchlists in one single Rotaional backtest?
For example, I have 2 watchlists, namely “Watchlist_A” and “Watchlist_Z”. I’d like to do the backtest from year 2012-2016 but during 2012-2013 would like to trade on symbols from Watchlist_A, while from 2014-2016 switch to trade on symbols from Watchlist_Z.
In this case, Watchlist_Z contains newly added symbols from Watchlist_A while there are some deletion of symbols from Watchlist_A. This means that at the beginning of 2014, I might still have some open positions from Watchlist_A.
Can it be done?