Can you dynamically change the universe of stocks to select from within Moonshot strategy?
I’m thinking about wash sales.
Example: 20 stock universe. 10 have signal=1 and are allocated 10% of portfolio. The other 10 have signal=0. A week goes by and 5 of the original signal=1 are now signal=0; algo sells these 5 positions.
In order to avoid a potential wash sale I want to disallow the repurchase of those 5 that were sold for 30 days and for the algo to now only have the ability to generate 1’s for the remaining 15 stocks. At 30 days they’re permitted to re-enter the universe and get a signal=1.