My main time series is 5 minutes. My typical optimization run takes 5-10 minutes (for one month of data).
Although I am working intraday, I need to check for daily 200MA. To do this I have to stretch the time span back by 200 days to get 200MA to work. I can do that, but then the optimization takes hours to run, even though the back data is really building data series for 200MA to work. I suspect the reason is 5 minute (or 1 minute) data is getting loaded, where it is not even needed.
Is there a way to optimize this scenario?
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