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Out of Sample Data Generator
What is the out of sample data generator?
The out of sample data generator is a program that transforms original market data into a random out of sample data data series using a modified bootstrapping technique. This out of sample data can be used to test models against different market conditions (ie. high/low volatility, trending/choppy). Additionally, the out of sample data generator provides the ability to add "price shocks", which are quick spikes (1 bar) at a user specified frequency and sigma. The out of sample data can then be exported from the program, and further analyzed. The data is directly compatible with Trade Station.
In the chart above, the blue line represents approx.
7 years of Mini S&P data. The red line represents
the out of sample data created by the program.
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