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Hi SpaceBass --
The only way to determine the correct length for the in-sample period is by running experiments. The length needs to be long enough for the model to synchronize with the data and learn to recognize the signal. But not so long that the signal has changed significantly, making it hard to identify. And not so short that there is not enough signal to learn, resulting in a system that has synced to the noise.
In a few words -- the length of the in-sample period should be as short as is practical and effective.
Once the length of the in-sample period has been determined, the length of the out-of-sample period is easy. It is the length of time that the system remains profitable.
There is no general relationship between the anything and the length of the in-sample period. There is no relationship between the length of the in-sample period and the length of the out-of-sample period.
There is some controversy in the modeling and simulation field about whether the in-sample length is a legitimate variable in an optimization. While it can be dangerous to system validity to run an optimization on in-sample length, some trials using different lengths are necessary.
Thanks for listening,
Howard
On Thu, Feb 18, 2010 at 7:23 PM, spacebass5000 <spacebass5000@xxxxxxxxx> wrote:
I was wondering if there was a way to optimize the In-Sample and Step time periods within AB. If not, can someone point me in the direction of a good resource on this topic?
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