OOS Cross-Validation of Our Vol Trading Strategies
policytensor.substack.com
It doesn't matter how well your model fits the data. What matters is how well it performs out-of-sample (OOS). I've just uploaded a research note documenting the OOS performance of my retail and wholesale strategies for trading the term structure of expected volatility. If you want the details, go there. I thought I'd upload the pictures here for the tl;dr types.
OOS Cross-Validation of Our Vol Trading Strategies
OOS Cross-Validation of Our Vol Trading…
OOS Cross-Validation of Our Vol Trading Strategies
It doesn't matter how well your model fits the data. What matters is how well it performs out-of-sample (OOS). I've just uploaded a research note documenting the OOS performance of my retail and wholesale strategies for trading the term structure of expected volatility. If you want the details, go there. I thought I'd upload the pictures here for the tl;dr types.