I was just checking out the Q17 Machine Learning Algo (With Retraining). I don't know if it's just me, but I find the following strange:
The initial algorithm (has look ahead bias and what not) uses 54 different instruments during the backtest. As far as I can see, there is no "is liquid" filter anywhere, since this is just for educational purposes.
When the ML algorithm is passed through the backtester, it only trades 8 instruments in the same timeframe. What gives? Is there some parameter that is tuned when using the backtester instead of the whole data? Is this an error? I'd love to keep testing and exploring ML algorithms, but I think that the total number of traded instruments over 8 years should be more than 8, right?
Please let me know what changes I can make to the code, change the data, competition type, etc. in the backtester parameters, or if this is by design.
Full data "test":