Open Jordan2k14 opened 1 month ago
With the current optimization being used for all 18 years, results could be positively or negatively skewed. If the simulation were to begin in 2006, the simulation would only have the python optimization data it had collected since beginning. For better accuracy, we can allow the algo to simulate it optimizing only using past data. (Ex: in 2014, the sim would optimize based on spy/sh/vix data from 2006-2014 as that would be the only data it had collected).
Originally posted by @seanfrmolloy11 in https://github.com/Jordan2k14/Auto-Adjusting-Algorithm/issues/3#issuecomment-2120933145