Customize IS data periods
One of the many great things with SQ is the ability to customize OOS periods. This opens the door to specific testing and/or exclusion of certain periods.
For the same reasons that this is useful, it would be equally (or even more!) useful to have the ability to customize IS periods. This would, amongst other things, allow testing for certains scenarios (bull/bear), event, volatility regimes etc
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Votes +8
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Project StrategyQuant X
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Type Feature
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Status Refused
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Priority Normal
History
tmatejka.
12.03.2019 19:05just to elaborate a bit more, this allows us to do such things as:
– Build systems on one type of scenario and test it on another (optimize for high volatility (say you have a market view or whatever)) and then run OOS test on the reversed.
– Exclude certain events from both IS and OOS testing. Eg you’re working on systems on a market that has made one huge move once in the last 10 years. You probably want to treat this event separately, and not include in either the IS or OOS initially, as it will heavily skew either the parameters in the system or OOS outcomes.
The feature already exists on other platforms and I know of many builders that use it. Would be great to have it in SQ – I believe it adds value.
hukanliwow@126.com
01.06.2019 09:02Mark Fric
11.09.2020 12:59Status changed from New to Refused
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