What happens when my strategy can't get out of a position due, I'm assuming, to the fact that a security has vanished from the data stream?
I've got a strategy that uses fundamental data, rebalancing periodically, exiting with a trailing stop. If a security has not exited I include it in the next rebalancing event. I also have a "re-selection" event where I allow the strategy to go back to the fundamentals and request a new bundle of fresh securities to add to the remaining ones I've held on to. However, I only perform this re-selection when my open position pool drops below 10% of my original position count.
What happens here is that these securities:
clog up the works.
They were "told" to exit, but did not. And they did not because they no longer exist. So, these remaining dead soldiers, who all have open positions, but no current prices, hang around my open positions count and negate the whole "Rebalance when open positions < 10% of original count of 100".
You can't close these now because they don't exist. They're stuck. Open but not open.
Here they are in November of 2007:
And here they still are in January of 2009
They're zombies, orphaned positions I can't get rid of. What to do?