Posted By: GPEngine
Performance Report Out of sample test question - 05/30/15 17:51
Basic question
If I set
DataSplit = 50;
and use no WFO (NumWFOCycles left at default)
I get a performance report which says
Out of sample test 3136 bars (27 weeks)
Training period 3136 bars (27 weeks)
Regarding the numbers that follow in the Performance Report, are they based on the Training Period, the Out-of-sample period, or both?
If I set
DataSplit = 50;
and use no WFO (NumWFOCycles left at default)
I get a performance report which says
Out of sample test 3136 bars (27 weeks)
Training period 3136 bars (27 weeks)
Regarding the numbers that follow in the Performance Report, are they based on the Training Period, the Out-of-sample period, or both?
