[amibroker] Re: Walk Forward IS/OOS Period Optimization?

["spacebass5000" <spacebass5000@xxxxxxxxx>]

bummer

thanks for the help!

--- In amibroker@xxxxxxxxxxxxxxx, Howard B <howardbandy@xxx> wrote:
>
> 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@xxx>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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