I’m a little confused about this setup.
According to the literal meaning, I guess the net profit(IS/OOS ratio) is net profit in IS / net profit in OOS.
IF the net profit in IS is 1000$, net profit in OOS is 400$, so the net profit(is/oos ratio) is 250%.
But in the ebook, it’s been described below,
If strategy makes $6000 on whole In Sample period, and $4000 on Out of sample period, then its Net
Profit (IS/OOS Ratio) will be 66.6% (because $4000 is 66.6% from $6000).
So the IS/OOS ratio means that performance in OSS / performance in IS?
If I want that the performance in OSS is 60% better than in IS at least, I should set “dismiss when IS/OSS ratio is below 60%”?
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