Skip to content
All library documents

Handling Nonoverlapping Market Holidays in Global Portfolio Backtests

Article Quant Q&A · Author: Metod Jazbec
Read the original

Summary

The document raises a calendar-alignment problem for daily strategies that rebalance a portfolio spanning multiple markets. A local-market backtest can omit exchange holidays because trading is unavailable, but international markets observe different holidays. As a result, there may be dates when some portfolio assets can trade while others cannot.

The post provides no proposed method or empirical comparison; it is a question seeking guidance. It identifies the practical modeling decision: how to represent portfolio weights, returns, and rebalancing when market calendars do not coincide. Any treatment needs to reflect each venue’s actual trading availability and avoid assuming that all assets can be traded or repriced on every common calendar date. The document does not specify instruments, execution rules, or how to handle valuation when one market is closed.

Key ideas

  • Global portfolios can contain assets whose exchanges follow different holiday calendars.
  • A daily rebalance assumption becomes ambiguous when only some markets are open.
  • Backtests need to represent asset-level trading availability and valuation dates.
  • The document poses the issue but does not provide or evaluate a solution.

Tags

BacktestingMulti-assetEquities
Full text
# Backtesting - treatment of holidays for global (i.e. multi-market) portfolios


# Backtesting - treatment of holidays for global (i.e. multi-market) portfolios












Assume a daily trading strategy where each day we rebalance our portfolio weights:





In Situation A, I exclude holidays when performing a backtest, reflecting the fact that orders can not be placed on such days as exchanges are closed. However, in Situation B, this is harder since holidays do not necessarily coincide between different markets (e.g. see holiday calendars of Hong Kong exchange and NYSE).

How does one treat holidays when backtesting strategies on global portfolios in Situation B?

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

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