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Forums>StrategyQuant>General Discussion>Builder OOS is true or fake?

  • #261840 |
    Participant
    39 Posts

    Builder OOS is truely out of SQXs vision or fake?

    Lets say date range is 2015.01.30 to 2020.08.30

    In sample 2015.01.30 to 2018.01.15

    Out of sample 2018.01.16 to 2020.08.30

     

    Is it the same reliablity as if builder In sample 2015.01.30 to 2018.01.15

    Plus

    Retester 2018.01.16 to 2020.08.30

    ?

    #261862
    tomas262
    Administrator
    1823 Posts

    OOS data period is used just for verification. The IS data is used to optimize and train the strategy on the historical data to best fit to ranking criteria set.

    But logically you are always fitting the strategy on the market prices history no matter if IS or OOS data is used. A good practice is to use some “unseen” period of historical data and verify the strategy after it passes OOS tests

    #261877
    Participant
    39 Posts

    Is oos unseen for sqx?

    #261888
    tomas262
    Administrator
    1823 Posts

    Hello,

    better check this article on data parts https://strategyquant.com/blog/training-validation-test-periods/ since there are also types of IS data. OOS data is “unseen” for the strategy training part but since you set “OOS filters” usually OOS data is considered during the build phase. For that reason you can keep another part of data unused as “OOS2” and use only in retester to verify strategies produces in the builder

    #261899
    Customer
    790 Posts

    if you dont set any filtering for OOS – these data will be “unseen”

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    #261902
    Participant
    39 Posts

    and if OOS filter is set than SQX curve fits?

    then what is the point of OOS?

     

    #261921
    Customer
    11 Posts

    and if OOS filter is set than SQX curve fits? then what is the point of OOS?

     

    Because if you do not use filters the data is unseen.  If you use filters then it is no longer OOS.

     

    if you dont set any filtering for OOS – these data will be “unseen”

    #261922
    Participant
    39 Posts

    Sqx generates a strategy on IS

    Then this strategy is just simply tested on oos without fitting

    If oos filter has been passed successfully then strategy is added to databank

    Else strategy discarded without any further curve fittings to satisfy oos filters?

    Right?

     

    • This reply was modified 9 months, 1 week ago by Gin.
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