Because of the way the COT Data is calculated it’s not possible to use the COTDATA function in a rebalancing test. The function will only return the value of the COT Report selected (001602 commercial wheat SRW by default).
Thanks Darren - Can you also clarify the sequencing of the re-balancing functions. As an example if I was looking to firstly select momentum stocks using the Descending "Performance()" if I select another Metric using the "AND" function and "datafield(Book Value per Share)" ratio - Does this sort by momentum AND then pick the best value stocks within that sorted list. Or does it use both functions to sort out a list in a singular method.
I've read the online help/function article but any other info would be great if you have any.