Topic: OOS Acceptance Criteria: Interesting Phemonima
I woke up this morning and compared generations of IS vs. IS & OOS generation and validation (optimization + 100 MC tests).
I'm using identical IS periods, with the addition of a 30% OOS period in one of them (added on after the IS period of the first, making the total data 22500 bars instead of 15750 bars).
Acceptance Criteria and validation methods are identical for both IS and OOS.
Upon examination of multiple instances, I noted that the exclusively IS generations had generated about 60,000 strategies each.
I was surprised to see that the combination IS/OOS generations had generated in excess of 600,000 strategies during the same generation period.
For a few minutes, I thought that maybe my settings were wrong somewhere or that this was a bug in the new backtesting engine...but no, I realized that these results are correct and why they occurred.
Quiz: Can anyone explain the reason this happened?