#### Topic: OOS Analysis -- short or long data horizon -- that is the question...

I've recently returned to forexsb -- still the finest software out there...

Stepping up to the podium...

With regards to data horizons -- both in back-testing and OOS analysis -- I believe most traders harbor a misconception. The misconception is that the longer the data horizon then the smarter the EA. There are some guys who would go back to dinosaur times tick data if they could get their hands on it. But here's the deal -- indicators and EAs use algebra and algebra does not learn and can not be trained. It strictly uses just the input (x,y) data and computes the best settings for that exact input data.

Market conditions constantly change and, so, the input (x,y) data is a moving target. Unless you have a time machine you can't trade on historical data. The most important and **relevant** part of your data horizon are the most RECENT time points. You want the optimizer to compute the best settings for the most RECENT data. The more historical data you feed to the algebra then the more biased the optimized settings will favor the historical data. That is -- historical data has a tendency to skew and pollute the results.

So -- I'm claiming that the goal should be the shortest data horizon, with the caveat that you need a minimum number of trades for the computed stats to be statistically significant.

As an example -- suppose I'm trading CADJPY / H1. I like a data horizon of about one month with an OOS of 30% -- something like that. Since I trade in real-time then I want the input (x,y) data to favor current market conditions so that the optimizer computes the best settings for current market conditions.

Stepping down from the podium...

Agree? Disagree? Don't care?

Best of luck with your trading...