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Regarding window below. Two questions:
1. If Start dates were 6/1/2006 and 9/1/2006 for In and Out of sample
respectively, would the overlap with End dates be effectively "forward
looking"?
2. For Out of sample data, the End minus Start dates is two months
long, but the step is only one month long. Are the results for each
month the average of two sets of optimized parameters? For example,
the parameters used for October were calculated using two periods, June
through August, and July through September.
Thank you.
-- Keith
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