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.
Haha thanks Despair!
I understand what u mean about the “look ahead bias” – But honestly it wouldnt matter if i started with 50% or 100%, if i where to use the exact same strategy with the exact same values, if its profitable for 50% and 100%, it dosnt matter, as long as i dont start optimizing/changing values on 100% of the data.
i Could have used ONLY the 30%/50% data and not “checked the 100%” to see how/if its profitable on 100% of the data, before optimizing. But it wouldnt matter if i checked it or not, because the results wouldve been the same.
Please correct me if im wrong!! 🙂
