I'm interested in your in-sample and out-of-sample testing.
For the 2016-2019 (36 month) period, I have made 3,000 strategies using the Random generation method.
I did not use an out of-sample period, just mentioned above
3 years as in-sample.
For this three-year period, all 3000 strategies are more than $ 5
expectancy and 0.90 have greater stability.
Then I started testing all 3000 strategies in "retest" mode,
for periods outside the in-samples: 10,20,30,50,100,200,400% for the period.
10% OOS: 3.6 month: 2015.11.01 - 2016.02.15
20% OOS: 7.2 month: 2015.07.02 - 2016.02.15
30% OOS: 10.8 month: 2015.04.01 - 2016.02.15
50% OOS: ...
100% OOS: ...
200% OOS: ...
400% OOS: 144 month: 2004.02.15 - 2016.02.15
I noticed that as the size of the out-of sample period increased,
less and less of the 3000 strategies
with a expectancy of more than $ 5 and a stability of greater than 0.90.
Do I see things right?
Why is that?
How to set In-sample and Out-of-samplet?
In-sample should be the latest data and the older one is out of sample,
or vice versa?
What ratio should I use for IS and OOS?