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Forums>StrategyQuant>Application Support>How large OOS should be? 80% ?

  • #268610 |
    70 Posts

    Is it preferable to have a large OOS? Say, 80% of the data (and 10% for IST and 10% for OSV) ?

    797 Posts

    i have no preference, i am always different ranges – sometimes i generate only on 3 years, sometime on the whole data

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    31 Posts

    The larger your OOS in comparison to your IS, the harder it will be to find strategies. Robustness will probably be better, as the strategies that you will find will survive on a longer time period which is not seen in building. So it is a trade off between quality and quantity.

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