Backtesting Daily Stock Entries with a Fixed Ten-Day Holding Period

Summary

This discussion describes a backtest design in which a stock is bought whenever it meets a daily filter, with purchases made each day rather than on a ten-day rebalance schedule. Each new position is allocated 20% of the remaining cash, with holdings described as equally weighted, and is sold after ten trading days. The central implementation idea is to use a trading calendar and inspect each open position during the bar-processing routine, selling positions once their holding duration reaches the target.

The post points to code elsewhere but does not include the code itself or explain how the holding-day count handles entry dates, holidays, or execution timing. It is a brief template discussion rather than a complete engine specification, and it provides no strategy signal details or backtest results. The allocation description also leaves open how to handle insufficient cash or multiple qualifying stocks on the same day.

Key ideas

• The design evaluates entry conditions daily and opens positions whenever they qualify.
• Each purchase is described as 20% of remaining cash, with an intended equal-weight allocation.
• Every position is independently sold after ten trading days.
• The proposed engine checks holding duration for each position during bar processing, but implementation details are omitted.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.