Stocks & Commodities V. 40:05 (8–16): In-Sample Test Data, Out-of-Sample Data—Does It Really Matter? by Perry J. Kaufman
In-Sample Test Data, Out-of-Sample Data—Does It Really Matter? by Perry J. Kaufman
Backtesting a trading strategy or trading system before trading it has always been an important part of the system trader’s process. But what’s the best way to go about it? Here’s an overview of the process and some finer points on how to select data to use in backtesting.
The “scientific way” to test is by using data that is referred to as in-sample. You then use those results on out-of-sample data, that is, data that the test has not seen before ...
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