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eas-guide:oos-monitor

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eas-guide:oos-monitor [2018/01/25 13:43]
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eas-guide:oos-monitor [2018/02/01 13:50] (current)
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 ===== OOS (Out of Sample) ===== ===== OOS (Out of Sample) =====
  
-When testing a strategy on historical data, it is beneficial to reserve a time period of historical data for testing ​purposes. The initial historical data on which the strategy is generated, tested and optimized is referred to as the IS (In Sample) data. It is also called Training data.+When testing a strategy on historical data, it is beneficial to reserve a time period of historical data for later testing. The initial historical data on which the strategy is generated, tested and optimized is referred to as the IS (In Sample) data. It is also called Training data.
  
 The data set that has been reserved is known as OOS (Out of Sample) data or Trading data. This setup is an important part of the evaluation process because it provides a way to test the strategy on data that has not been a component in the optimization model. As a result, the strategy will not have been influenced in any way by the OOS data and traders will be able to determine how well the system might perform on new data. The data set that has been reserved is known as OOS (Out of Sample) data or Trading data. This setup is an important part of the evaluation process because it provides a way to test the strategy on data that has not been a component in the optimization model. As a result, the strategy will not have been influenced in any way by the OOS data and traders will be able to determine how well the system might perform on new data.