WARNING! Strategy trades non-liquid assets.
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I am starting with the Ridge Classifier and encounter the errors when running backtest ml : WARNING! Strategy trades non-liquid assets.
The problem is that it usually results in the error when run in the precheck : Missed dates in the portfolio history.
Please help me to figure out the reasons and how to tackle it.
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@commanderangle Hi, the reason is that the algorithm is generating non-negative weights for assets which are not liquid at some point in time, in other words they are not part of the Nasdaq index at that time.
