How come I can only run a backtest within the “in-sample” period? Doesn’t that defeat the purpose of out of sample testing? (under prediction → clipboard button → “To run a screen that returns the top decile, click here.”)?
How come on simulated strategies when using my AI factor I can only backtest 1 single year? Is there a way to backtest longer than 1 year? I have a 5 year out of sample period and a 5 year period after that as well - can I backtest on either of those?
We disabled AIFactor() in backtests longer than one year because it is currently very inefficient for backtesting. It's ok for one shot predictions, but not for 50+ predictions in very short time. Furthermore users were adding multiple AIFactor() in a single ranking system and causing overload.
We're discussing what we should do re. AIFactor().
However you can use AIFActorValidation() for your use-case right now. Just copy your AIFactor to a new one, then use Basic Holdout and set your holdout period to 5 years. You will be able to backtest for those 5 years, and it will be very fast since it uses the already computed predictions.
