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Forums>StrategyQuant>Application Support>SQX 108 How do OOS Period(s) affect IS Data?

  • #235156 |
    Customer
    15 Posts

    I am looking for a detailed understanding of how does SQX see the IS data when there breaks between OOS date ranges.

    Example #1:

    • Price Data starts on 2005.06.01 and ends on 2018.06.29.
    • IS Data  is from 2005.06.01 to 2010.12.31
    • Out of Sample #1 is from 2011.01.01 to 2015.12.31

    Visually it is something like this:

    IIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIOOOOOOOOOOOOOOOO????????????????

    What does SQX do with the price data from 2016.01.01 through 2018.06.29 (?????)  ?

    Does SQX include that ???? range as IS data?

     

    Example #2: If I use two OOS ranges how does SQX treat the data between the ranges and at the end?

    • Price Data starts on 2005.06.01 and ends on 2018.06.29.
    • IS Data  is from 2005.06.01 to 2010.12.31
    • OOS #1 is from 2008.01.01 to 2010.12.31
    • OOS #2 is from 2012.01.01 to 2014.12.31

    Visually it is something like this:

    IIIIIIIIIIIIIIIIOOOOOOO????OOOOOOO???????????

    The questioned date ranges are:

    ??? Range 1 Start 2011.01.01 to 2011.12.31

    ??? Range 2 Start is 2015.01.1 through the end 2018.06.29

     

    Again what does SQX  do with the data represented by the ???s ?

    Does SQX include these ???? ranges as IS data?

    Thanks,

    Dave

     

    #235179
    tomas262
    Administrator
    1826 Posts

    Hello,

    data that are not in the OOS period are considered to be IS

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    #235233
    Customer
    15 Posts

    Assume that one is using two (or more) OOS sets. Is there a way to have each OOS set reported separately in the Databank and in the Results-> Equity Curve graph?

    Thank you,

    Dave

    #235332
    tomas262
    Administrator
    1826 Posts

    Hello, currently no way of doing. This would have to be added into future version. We might consider adding it

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