Stateful Strategy Optimization - Illiquid Warning

[Svyable]

https://github.com/quantiacs/strategy-stateful_strategy_optimization/blob/master/strategy.ipynb

This tempalte lists a illiquid warning in the first round of checking, something I often see with similar Q22 attempts. How should we think about this warning when constructing strategies and backtesting.

How could this strategy be optimized to trade only liquid securities or otherwise address the warning.

[support]

Dear @svyable,

If you use our backtest function, the liquidity filter will applied automatically, you can just ignore that warning.
On the other hand, if you decide to use single-pass strategy option you should apply that filter manually or just use clean function that has that option included.

Regards