Archive for January, 2014

Reality Check: Why there is no such thing as a true “out-of-sample test” when using historical data

When facing the large amount of possible biases derived from the construction of trading strategies one of the most common solutions is to try to test systems on “unseen data” – also known as out-of-sample data – in order to obtain measures of performance that are independent from the data used to construct our trading […]

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