One of my meta strategies has missing allocations for a period of time as evidenced by a straight black line on the main QT screen (where it shows the performance of the strategy against its benchmarks). This is happening despite the fact that I have “Always invest 100%” checked in portfolio manager.
Interestingly, if I optimize the strategy on a 2-year time horizon it seems to work just fine… but when I optimize on a 1-year time horizon (which changes the lookback from 74 days to 80 days (Vol Attenuator is zero for both)), this error pops up.
For additional context, there are 4-5 sub-strategies, each with a min and max percentage assigned (though the meta strategy itself has a zero min and 100% max). This is happening with both the SR and DR algorithms.