103: Dave Bergstrom – Escaping Randomness, and Turning to Data for an Edge
Chat With Traders
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How to Split Up Your in and Out of Sample Data
It's generally has to do with allowing the law of large numbers to play out and make sure that you found something that's real. I think it's probably also fair to say that the more rules that you add to a strategy that easier it is to curve fit as well. So how do you split up your in and out of sample data? Like do you have a certain ratio that you'd like to work with? Yeah, so usually I'll default with 35% out of sample, but I'm actually researching this now because moving that window size is actually resulting in me finding different strategies.
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