Out-of-sample testing
Also called: out of sample, walk-forward testing, walk-forward analysis, in-sample
Testing a strategy once on data that was kept aside and not used while building it, to see whether its results hold on new data.
Rules are developed on an in-sample period and then tested, without changes, on a separate out-of-sample period. Walk-forward testing repeats this through time. Results that collapse out of sample are the classic sign of overfitting.
Learn more in these lessons
- Overfitting, sample size and out-of-sample testingHow do you tell whether a backtested strategy is real or just fitted to the past?
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