Topic: Should IS and OOS sections be reversed?
This may be controversial, but here goes...
I'll advocate that for OOS analysis the IS and OOS sections should be reversed. For example, consider 30% OOS. In this case the oldest 70% of the data is used to compute the settings and then those settings are applied to the most recent data. However, since we trade in real-time (i.e. the most recent data) then that should be reversed. We want the settings to be computed using the most recent 70% of the data and then compared to the oldest 30%.
Market conditions are constantly changing and it seems to me that settings should be "tuned" to the most recent market conditions rather than historical market conditions.
Popov -- would it be possible to add an option to choose between the two possibilities?