moving the IS periods to different segments and seeing what the results are.
As a robustness test this would be a good test.
code was always in tune with current market behaviour? Might it even make more sense to always choose the best fit for the curve you’re in, rather than a compromise that fits any?
Above needs OS periods to immediately follow IS periods to simulate what we would do in Live running.
I think we will find that certain Strategies will fit / work better with the short term re-optimise approach and some won’t.
If, after our tests, we may know which type of strategies fit in with re-optimising then this will be useful.
