I believe that I might have an idea on how to capture performance realistically for multi-day holding periods for a daily factor. For example, if you wanted to capture 21-day holding period performance on a factor of a factor that was refreshed each day, you would take your hypothetical portfolio and divide into 21 slices. You would rebalance one slice each day for 21 days. The return for tomorrow would be the average of tomorrow's returns for each of the 21 slices created over the period from 21 days ago though yesterday.
Has anyone tried this approach or have any ideas on how I might do this.