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    Stateful Strategy Optimization - Illiquid Warning

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    • S
      Svyable last edited by

      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.

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      • support
        support @Svyable last edited by

        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

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