I want to backtest a strategy using K-fold cross validation. Assume I have a period of 300 days in my backtest. I divide it into 30 folds of 10 days each.
On day 1 of a fold, I enter a trade, and exit after 6 days. On day 7 I enter another trade. But when we hit day 10, the final day in the fold, the trade is still open.
What is the best way to handle this? Should I just close the trade at the end of day 10, and record the pnl at that point? Or just ignore the trade altogether since it was unfinished (ie, still open).