Counting Minimum Holding Periods in Trading Days
Summary
The document raises a practical trading question: how to enforce a minimum holding period using trading days rather than calendar days. Its example calculates elapsed time by subtracting the last rebalance date from the current date, which counts weekends and holidays as well as market sessions. That can make a live strategy’s holding-period check differ from one based on trading sessions.
The post does not give a solution or compare methods for counting sessions. It offers no test results or evidence beyond the reported difference between the user’s backtest and live behavior. The key implementation requirement is to track or derive elapsed trading sessions consistently, and to define whether the entry or rebalance date counts as the first holding day. The appropriate approach depends on the trading calendar and platform data available.
Key ideas
- Calendar-day subtraction includes weekends and holidays.
- A minimum holding rule may need to count market sessions instead of elapsed dates.
- The post identifies a mismatch between backtest and live behavior but gives no implementation solution.
- A session-counting rule should define how the entry or rebalance date is treated.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.