Hi all,
right now I am busy reading Zorro manual, currently the part about training strategies. I have a difficulty understanding Horizontal Split Optimization. Can somebody help me making up an example?
Lets say, the simulation period is the whole 2013, consisting of 52 weeks. DataSkip remains unchanged (meaning weekly pieces), LookBack is 4 weeks long, and the method is set up by a script just like in manual:
if(Train) set(PARAMETERS+SKIP3);
if(Test) set(PARAMETERS+SKIP1+SKIP2);
Is the follwing correct?
- for the training, weeks five and six are used
- for testing, week seven is used
How are other weeks of the year involved?
I think I'm bit confused by the picture in the manual...

In your example, training uses every third week and testing the two other weeks.