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 Post subject: Optimization/Validation
PostPosted: Wed Jul 03, 2013 9:35 am 
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Joined: Wed Aug 08, 2007 6:32 pm
Posts: 222
Hi,

Three Questions if I may:

1. Is it possible to optimize on for example a third of the data and validate on the last third? Thinking it might be possible in the scenario functionality, but not sure how to implement it.

2. Also is it possible to optimize on a rolling basis using some kind of optimization function based on the above.

3. Is it possible to implement custom optimization based on my own functions. I tend to use penalty terms for increased risk adjusted performance. Currently i have to output the data and then perform the analysis outside of the OQ framework.


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PostPosted: Wed Jul 03, 2013 9:52 am 
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Joined: Wed Oct 08, 2003 1:06 pm
Posts: 833
Hi,

Please take a look at this thread:
viewtopic.php?f=64&t=8627

Regards,
Sergey.


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