Robustness and OOS

Hello


This is a request that l believe is more than a "feature".


Currently, the robustness tests in SQ do not exclude OOS data. For example, if you run a WF, the windows will be based on the IS period(s), but they will often overlap, and thus use the data, from OOS. This has many unfortunate ramifications for the output. The most obvious one is that the OOS results will be significantly inflated since OOS is no longer OOS (by definition). Systems which performs well OOS, will also be much more likely to pass any test. This defeats the purpose with robustness testing. The whole point is that OOS should always, at every junction of the process, be unseen and untouched by the process itself. Currently however, the process is "data peaking".


There are obviously some ways to get around this in many cases by manually manipulating windows etc in the retester. But the process is cumbersome and it would be much better if OOS data is, by default, never used in any of the robustness testing processes.


Thank you.