• Registered: 2012-09-27
  • Posts: 46

Topic: Difference between Montecarlo analysis and OOS

As i got it, the Montercarlo test goes to make modifcations about historical data, execution problems and others parameters.
Now i'm wondering if this test must be done on the "in sample data" or in "out of the sample data" in order to avoid over-fitting situations.
In addition, does the Montecarlo simulation be a substitute of the "out of sample" test?
Pratically, i would like to know which kind of connection exist between these two tools.

Thanks

  • Popov
  • Popov
  • Lead Developer
  • Offline
  • From: Bulgaria
  • Registered: 2006-11-30
  • Posts: 7,885

Re: Difference between Montecarlo analysis and OOS

There is no connection between Monte Carlo simulations and OOS.
OOS works only in the Generator and Optimizer.
Monte Carlo tests utilize the full data series available.

If you want OOS with Monte Carlo, you can use Data Horizon for limiting the data series.

Popov's Website

  • Registered: 2012-09-27
  • Posts: 46

Re: Difference between Montecarlo analysis and OOS

Ok, so there is no way to establish if exist some advantage to run a montecarlo test on "in sample data" rather than on "out of sample"?