Not saying it was done wrong here, only saying that stating
OOS testing was done is not a blanket confirmation.
In the next post, I will show results of doing an IS and
OOS testing on a mean reversion strategy and how picking only one variation can be dangerous.
Then I will show how using a set of variations is a much better way to help determine if your strategy did well in
OOS testing.
Not exact matches
If I use 2002 to 2006 as my
OOS sample data for a mean reversion
test, is that cheating?
Meaning I
tested a mean reversion strategy and it failed in
OOS.
Named «Room» (officially spelled with capital letters and the infinity symbol in place of the «
oo»), it was being beta
tested in Japan from October 2009 to April 2010.
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