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not necessarily...if the pattern, cycle, or whatever market characteristic that
you're trying to model comes and goes over time, you might miss it in the out of sample test if that sample period is too short. in this case, i'd incorporate the profitable intermittent market trait into a separate system module, and switch it on and off with whatever your triggering mechanism might be instead of scraping the model.
TJ
Barrington Bear <schindlertrading@xxxxxxxxxxx> wrote:
>Continue doing the t-test periodically. Switch to a z-test when you have
>more than 35 trades. If it ever fails, kill the system. Failing the test
>means the market is different somehow than it was during your out of sample
>period and the profitability of your system is in question.
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