Out of sample data

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created on 2020-11-01 16:56:13

Comments (4)

Ls · 2 months ago

We will for sure use the same set of currency pairs but we may stress test your payout on other data / currency pairs. Your logic should be sound and and not dependent / hard coded on any specific currency pairs. Hardcoding of data should be avoided at all costs, it usually results on model that generalize badly and do not allows the Alphien team to do test your submission.


Happy coding ! Lionel.

Andrewlu · 2 months ago

So in this case we have train the model in the out of sample data as well and it should be part of the payout. Is there any limit on how many days we can look back? In the back test data, we have to generate first weight no later than 2018-01-02 which means our maxim looking back period is 1 year. Is there any similar constraint for out of sample test?

Ls · 2 months ago

We do not provide any information related to the out of sample test, your objective is to find the best model which generalize well using the data that you have. If your model requires retraining, rolling training, or anything else. Please explain it in your notebook submission. It can indeed be part of your payout.

Leon0183 · 2 months ago
Your logic should be sound and and not dependent / hard coded on any specific currency pairs


Is using the column name allowed in the payout function?


Say we just want to trade on XXXUSD currency pairs, we will have to take the column name so our payout function can recognize them.