I'm running a trading system on a Multiple Stock Portfolio. The stocks are from different markets and thus have different trading hours.
I'm using AddtoComposite Function to calculate Open Positions Exposure. I'm getting the expected values when all the markets are open simultaneaously.
But whenever the market is closed for a particular stock, there is no data and thus no candle for that stock. In such a scenario AddtoComposite doesn't consider Open Position Exposure for that particular stock or rather considers it to be zero while the market is closed.
I've tried Pad and Align in Analysis Settings.
- This solution works ONLY when I choose atleast one market which is a superset in terms of Market Timings and NOT when I choose markets with sequential timings.
- Even when I choose one market which is a superset in terms of Market Timings, I solve one problem (I do get expects Open Position Exposure Values) but I create another problem (Trading System results change considerably). I presume Pad and Align fills gaps in the data at the stock level and thus changes any indicator values.
Please advise a method to work with the Composite without filling data gaps at the stock level and changing values of indicators.