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In sample Vs Out of sample

Hello Guys!

I'm interested in your in-sample and out-of-sample testing.

For the 2016-2019 (36 month) period, I have made 3,000 strategies using the Random generation method.
I did not use an out of-sample period, just mentioned above
3 years as in-sample.
For this three-year period, all 3000 strategies are more than $ 5
expectancy and 0.90 have greater stability.

Then I started testing all 3000 strategies in "retest" mode,
for periods outside the in-samples: 10,20,30,50,100,200,400% for the period.

10% OOS: 3.6 month: 2015.11.01 - 2016.02.15
20% OOS: 7.2 month: 2015.07.02 - 2016.02.15
30% OOS: 10.8 month: 2015.04.01 - 2016.02.15
50% OOS: ...
100% OOS: ...
200% OOS: ...
400% OOS: 144 month: 2004.02.15 - 2016.02.15

I noticed that as the size of the out-of sample period increased,
less and less of the 3000 strategies
with a expectancy of more than $ 5 and a stability of greater than 0.90.

Do I see things right?
Why is that?
How to set In-sample and Out-of-samplet?
In-sample should be the latest data and the older one is out of sample,
or vice versa?
What ratio should I use for IS and OOS?

Thanks
Adam

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Hi Adam.

No feature allows you to do in-sample and out-of-sample testing yet. However, you can run your strategies live and track their performance going forward using paper trading or a brokerage account. Alternatively, you can shift your backtest dates.

Check out this documentation section on Live Trading for further information.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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