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04/30/2018 at 11:12 AM
#69438
Good post! And what creative names you have for your algos. 😉
I work similarly although I do not develop the algo first on all data and then optimize on only a part. I develop completely on say 50-70% of the data and when I’m all done then I test the remaining data OOS. I think using all data to build does introduce look-ahead bias even if you don’t change any variable.