What happens in phase 2 when different stocks in phase 1 have holes in different time regions? Assume pad and align is turned OFF.
For example, if stock1 is missing all of March and stock2 is missing all of June, will phase2 backtest see the signals for the stocks that have data during March and June?
Why you just don't test it.... write custom backtester and see what dates you are getting. It is that easy.
The answer in 2nd phase you got ALL bars that exist on ANY of selected symbol under test within testing range. But you won't get SIGNALS from non-existing data. You would see bars without signals.
Thank you Tomasz. It makes sense.