Subject: Did you read this past Alvarez Quant Trading blog post?

Revisiting old research can spark new research or trading ideas. Read this old post, In-Sample and Out-Of-Sample Testing.

I am frequently asked if I do out-of-sample testing. The short answer is not always and when I do, it is not how most people do the test. There are lots of considerations and pitfalls to avoid when doing out-of-sample testing. Out-of-sample testing is not the panacea it is made out to be. There are lots of grey areas which I will discuss below.

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Good Quant Trading,
Cesar


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