I want to implement and backtest a rotational system that will invest in the top N securities as long as their PositionScore is above a threshold. If, for example, there were only two securities with PositionScores above the threshold, then two positions would be open and the other (N-2) positions would be in cash.
Is there a way to do this without using a custom backtest procedure? If a custom backtest procedure must be used, any guidance would be appreciated. If a custom backtest procedure is used, would EnableRotationalTrading still be used or would I want to implement my system without calling EnableRotationalTrading? Thanks, Curt
