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Unequal number of IST and OOS segments

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huangwh88

Customer, bbp_participant, community, 91 replies.

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1 year ago #255155

Hello,

For cases where the number of IST segments < number of OOS segments, how are the IST optimization results allocated to the OOS segments?

For example, if we have IST 1,2 and OOS 1,2,3, what optimization data do the OOS segments use?

 

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Mark Fric

Administrator, sq-ultimate, 3 replies.

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1 year ago #255178

sorry, I don’t understand what you are asking.

 

You are talking about IST segments that are used in Builder and also about optimization, which is not there.

Do you mean optimization in Walk Forward and System Param Permutation cross checks in Builder?

 

Mark
StrategyQuant architect

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huangwh88

Customer, bbp_participant, community, 91 replies.

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1 year ago #255181

sorry, I don’t understand what you are asking. You are talking about IST segments that are used in Builder and also about optimization, which is not there. Do you mean optimization in Walk Forward and System Param Permutation cross checks in Builder?

Hi Mark,

Yes in builder when you split up the data into segments. For example in the attachment below: IST,OOS,IST,OOS……

Do you mean to say that all IST segments are evaluated as ONE single segment, no matter how many times we split up the IST?

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Mark Fric

Administrator, sq-ultimate, 3 replies.

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1 year ago #255184

stats are computed for every part separately as well as for all IST, ISV and IS parts together, so you can choose which part you want to see or use in the condition

 

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Mark
StrategyQuant architect

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huangwh88

Customer, bbp_participant, community, 91 replies.

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1 year ago #255190

stats are computed for every part separately as well as for all IST, ISV and IS parts together, so you can choose which part you want to see or use in the condition

Hi Mark,

So just to make sure I understand your above screenshot:

ISV can be broken down into separate segments e.g. ISV 1,2,3….

ISV = All ISV segments together

IST = One single IST segment. Cannot be split into segments

IS = IST + ISV

Right?

 

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hankeys

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1 year ago #255191

i think that you are right

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Mark Fric

Administrator, sq-ultimate, 3 replies.

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1 year ago #255194

yes, you understand it correctly

Mark
StrategyQuant architect

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