Hello
Howard,
I cannot help but wonder why the OOS periods in optimizations aren't based on
the number of trades, instead of some arbitrary time period. Could it be that
this is just another example of how TA methodology is based on convenience,
i.e., a reluctance to redesign tools and/or a reluctance to change :-)
I am no statistician, but I would guess that if one wanted some specific OOS
performance the first thing to do would be to figure out how many trades would
be needed to do the calculations. If 100 trades gives you the confidence why
would you run a OOS period that gives you 200 trades?
Best regards,
herman
Friday, February 19, 2010, 8:18:45 AM, you wrote:
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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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