I am looking for an average of valid values.
“of valid values” from the past? Then we could also designated that as “Optimization” 😉 Don’t take it wrong, but valid values would have been the ones that you could have been robustly validated in a OOS period.
So the way you do is not bad, but it is the same as simply using optimized variables, if you don’t make a robustness test, you will never know that they were the good ones or the good way to calculate/define them.
