If I click "Run an OOS Backtest using WFO Parameters" in the WFO results do I get a backtest of the parameters used to create the Tabular (WFO) under Profit? If not how is it obtained otherwise. Thank you.
See images below.
See images below.
Rename
I found this description but it is not clear to me please explain.
For your example it would run one backtest, using the following parameter values (for Period3) that change dynamically over time:
3/18/2009 to 3/11/2011 - 16
3/12/2011 to 3/4/2012 - 26
3/5/2012 to 2/26/2013 - 16
etc...
3/18/2009 to 3/11/2011 - 16
3/12/2011 to 3/4/2012 - 26
3/5/2012 to 2/26/2013 - 16
etc...
So if I understand it correctly it will run a backtest of the Out of Sample values.
I think you meant to say?
Out of Sample - 3/18/2010 to 3/11/2011 - 16
Out of Sample - 3/12/2011 to 3/4/2012 - 26
Out of Sample - 3/5/2012 to 2/26/2013 - 16
I think you meant to say?
Out of Sample - 3/18/2010 to 3/11/2011 - 16
Out of Sample - 3/12/2011 to 3/4/2012 - 26
Out of Sample - 3/5/2012 to 2/26/2013 - 16
I didn’t mean to say that. There is only one set of values obtained for each WFO interval so adding “out of sample” is redundant . Is anything still not clear about what it is doing?
I am still not understanding where this Date Range came from
3/18/2009 to 3/11/2011 - 16
Is it? So combines one In Sample with the next 2 Out of Sample parameters and so on?
In Sample - 3/26/2009 to 3/11/2011 - 16
Out of Sample - 3/12/2011 to 3/4/2012 - 26
Out of Sample - 3/5/2012 to 2/26/2013 - 16
3/18/2009 to 3/11/2011 - 16
Is it? So combines one In Sample with the next 2 Out of Sample parameters and so on?
In Sample - 3/26/2009 to 3/11/2011 - 16
Out of Sample - 3/12/2011 to 3/4/2012 - 26
Out of Sample - 3/5/2012 to 2/26/2013 - 16
Is it backtesting the Out of Sample values as shown in the diagram below?
Yes that’s it!
Thank you.
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