A much better option than using trading periods for out of sample testing is Nth day. The reason for this
A much better option than using trading periods for out of sample testing is Nth day. The reason for this is some years are just very hard to trade, and you don’t know if a system failed to make money due to poor market conditions, or being a poor system.
Now you can choose your Out of Sample (OOS) data to be every Nth day and compare it to your In the sample (IS) data. If you Build systems with Nth set to 1. This means every 1 day trade is skipped, or 1 in 2 trading day is skipped. That means from a sample of 500 days trading period 250 days will be in the sample & 250 days will be out of sample, and it will allow you to compare your IS sample to OOS sample data for the best optimization of your test strategy.
This is explained more in this video. https://www.youtube.com/watch?v=NFC7ego_Y70
Nth day Mode
To use Nth day OOS data you would have to Select Nth Day Mode to “NoTrd”. GSB will not trade on the Nth day and later when all the system is build you can change the Nth Day to Trade from NoTrd & Compare IS data to OOS data to select the bust system.
Nth day Period
If this was set to 5, then the nth in sample and out of sample would be 5 days each if th day 1 was set to 1.
Nth day period should be set to 1, unless you are doing trades > 1 day. If so you can set to large values. For example 365 for 1 year nth periods.
Best value to use is 1 or 80.