bummer thanks for the help!
--- In [email protected], Howard B <howardba...@...> wrote: > > Hi SpaceBass -- > > The only way to determine the correct length for the in-sample period is by > running experiments. The length needs to be long enough for the model to > synchronize with the data and learn to recognize the signal. But not so > long that the signal has changed significantly, making it hard to identify. > And not so short that there is not enough signal to learn, resulting in a > system that has synced to the noise. > > In a few words -- the length of the in-sample period should be as short as > is practical and effective. > > Once the length of the in-sample period has been determined, the length of > the out-of-sample period is easy. It is the length of time that the system > remains profitable. > > There is no general relationship between the anything and the length of the > in-sample period. There is no relationship between the length of the > in-sample period and the length of the out-of-sample period. > > There is some controversy in the modeling and simulation field about whether > the in-sample length is a legitimate variable in an optimization. While it > can be dangerous to system validity to run an optimization on in-sample > length, some trials using different lengths are necessary. > > Thanks for listening, > Howard > > > On Thu, Feb 18, 2010 at 7:23 PM, 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? > > > > > > >
