DataSplit for Advise - lite-C Forums

Posted By: Grat

DataSplit for Advise - 04/26/21 18:34

Hi,

do you anybody know, if this work?

Code

  set(RULES);
  DataSplit = 90; // 90% training, 10% test

In the manual I see only set(PARAMETERS);

Is a possible set for FCE advise
|...TRAIN DATA..|...TEST..|

TEST ... testing like forward

Thanks

Posted By: Grat

Re: DataSplit for Advise - 05/10/21 17:32

nobody?

Posted By: TimmiHendrix

Re: DataSplit for Advise - 05/11/21 10:40

What are you using this for and could you elaborate a bit more?

As I read it from the manual it says:

"Splits the simulation in a training period (given in percent) and a following test period. F.i. when set at 60, the training period has a length of 60% and the test period has a length of 40%. This works with or without WFO and ensures that the test always uses out-of-sample data."

So, if you are asking if

DataSplit = 90;

will split your data into 90% training data and 10% test data, then yes.

Best regards

Tim