SQX 108 How do OOS Period(s) affect IS Data?

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

Hello,

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

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

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