I would like to know how to run an optimization while leaving some "future" out of sample data? For example optimize on Dec 31 2013 till Dec 31 2014, instead of until current date.
The purpose is to later check the behavior of the optimized system on "unseen" data of 2014.
Optimization and out of sample data
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Re: Optimization and out of sample data
Hello 3strategy,
1 day chart is the easiest way to do that. You need to plot 1 day chart with the "From - To" data range (From "IS start date – MaxBarsBack" - To "OOS end date". Use the Pin icon to save the data range and disable auto adjustment to the current date.
Example: MaxBarsBack = 50, so if the start date of a 1 day IS is 31 of December, you should go 50 business days prior to 1st of January for the chart data range.
Count the amount of bars on the chart from Dec 31 2013 (CurrentBar) till Dec 31 2014, use this value as IS. The remainder of the bars in the OOS value.
1 day chart is the easiest way to do that. You need to plot 1 day chart with the "From - To" data range (From "IS start date – MaxBarsBack" - To "OOS end date". Use the Pin icon to save the data range and disable auto adjustment to the current date.
Example: MaxBarsBack = 50, so if the start date of a 1 day IS is 31 of December, you should go 50 business days prior to 1st of January for the chart data range.
Count the amount of bars on the chart from Dec 31 2013 (CurrentBar) till Dec 31 2014, use this value as IS. The remainder of the bars in the OOS value.