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Forums>StrategyQuant>General Discussion>Unequal number of IST and OOS segments

  • #255155 |
    Customer
    92 Posts

    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?

     

    #255178
    Mark Fric
    Administrator
    1153 Posts

    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

    #255181
    Customer
    92 Posts

    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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    #255184
    Mark Fric
    Administrator
    1153 Posts

    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

    #255190
    Customer
    92 Posts

    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?

     

    #255191
    Customer
    358 Posts

    i think that you are right

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    #255194
    Mark Fric
    Administrator
    1153 Posts

    yes, you understand it correctly

    Mark
    StrategyQuant architect

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