Instruments weights in backtest - static version

[handelsmeisterei]

I recently studied your great book "Advanced Futures Trading" and decided to implement it myself. Not that anything is bad with pysystemtrade, I just need to code it myself to get to a level of understanding that I am comfortable with in light of trusting it some money. The backtest and order generation will be programmed in R, while the execution system already exists from my stock strategies (in Java).

As most of my questions can be answered by studying the source code there are sometimes situations where I do not find what I am looking for.

Currently I am coding strategy 4 (Long only portfolio) and get portfolio results that seem too lousy. I think this is because I implemented an automatic version of handcrafting on the universe of futures that I have data for today. But of course not all of them trade since the late seventies. I came to the conclusion that the handcrafting should be done every trading day to account for changes in the tradable universe and therefore stay "fully invested" all the time.

How does pysystemtrade handle this?