A market-neutral strategy that delivers 18% annual returns with a 13% max drawdown
Thanks for sharing! Are there any OOS testing on this? training/validation/test split?
The paper was published in 2020, it would be great if leave the last 4-5 years as OOS data and test the 2020 model on it.
Hi,
All results are OOS. As I explained, the model is retrained annually using past 15 years of data. So, for example:
- 2006 results: obtained by model trained using 1990-2005 data
- 2007 results: obtained by model trained using 1991-2006 data
…
So on and so forth. This is how train/test splits are generated. This sliding window technique is pretty common in time series modeling.
Also, I didn’t use validation sets as I didn’t do any hyper parameter tuning. The parameters were fixed in all experiments.
Cheers!
Thanks for sharing! Are there any OOS testing on this? training/validation/test split?
The paper was published in 2020, it would be great if leave the last 4-5 years as OOS data and test the 2020 model on it.
Hi,
All results are OOS. As I explained, the model is retrained annually using past 15 years of data. So, for example:
- 2006 results: obtained by model trained using 1990-2005 data
- 2007 results: obtained by model trained using 1991-2006 data
…
So on and so forth. This is how train/test splits are generated. This sliding window technique is pretty common in time series modeling.
Also, I didn’t use validation sets as I didn’t do any hyper parameter tuning. The parameters were fixed in all experiments.
Cheers!