No. My feature request for exactly that functionality was rejected. You'll have to vary the IS window and OOS window by hand. Just run a walk forward using 1 year IS, then 2 year IS, etc. Same for OOS periods. Use coarse grained increments so as not to curve fit the periods. The values above are just examples.
Mike --- In [email protected], "spacebass5000" <spacebass5...@...> wrote: > > I was wondering if there was a way to optimize the In-Sample and Step time > periods within AB. If not, can someone point me in the direction of a good > resource on this topic? >
