130 dev2 IST/ISV is set but not OOS. Still the progress tab says I have OOS set.

I did set IST/ISV but not OOS. The progress tab says I have OOS set.



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  • Votes 0
  • Project StrategyQuant X
  • Type Bug
  • Status Fixed
  • Priority Normal

History

b
#1

bentra

01.12.2020 02:15

Task created

h
#2

hankeys

01.12.2020 07:31
isnt ISV only another type of OOS?


for me its nothing more - IST/ISV/OOS


you are building on IST data and can rank and filter on IST/ISV/OOS


only 1 thing is different - you can restart gen algorith if ISV stagnates, this was added some time ago, because restart was possible only on IS

TT
#3

Tamas

01.12.2020 08:25

Status changed from New to Refused

As Hankeys said, ISV is just an another OOS.



b
#4

bentra

01.12.2020 08:25

Status changed from Refused to New

Yeah but OOS for the gen builder filter does not include ISV, I just tested it. I can't ever pass OOS # of trades > 5 when I have ISV set 33%.




b
#5

bentra

01.12.2020 08:27
OK thanks for the clarification. The IST and ISV appear under in-sample in other configuration settings. Just making sure it's not a bug.
b
#6

bentra

01.12.2020 08:50
I just double checked, there appears to be no way to isolate the IST from the ISV in the gen builder filters. IST and ISV are both included in the in-sample. OOS only includes data marked specifically OOS.

While ISV is actually an OOS during building, it does not seem to be included under OOS in any other area of SQX including the building filters and stagnation graphs. If you want to call it OOS in the progress tab that's fine with me but it might confuse someone.
TT
#7

Tamas

01.12.2020 12:40

Status changed from New to Fixed

You can read an article about it hereĀ https://strategyquant.com/blog/training-validation-test-periods/

Stats are calculated for each data part separately.


For now we let it displayed as OOS on Engine panel but thanks for pointing it out.



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