When I have used Time Series CV, does it matter much if you choose to have a separate holdout at the very end? I understand the point of a holdout is to ensure that you run the test on a period that is completely unseen by the model, but with Time Series CV and a 12-month holdout and a 30-week gap, isn't that the same as if you had a holdout at the end of the period? Each holdout period during a Time Series CV should function similarly as if it were a holdout at the end of the period.
Regarding the pricing of the AI factor itself: If I want to use this model as I usually do for ranking and manual weekly screening, I have trained the model according to the pricing for "Training and Validation." However, do I actually need this prediction cost (100 dollar) ? Is it not possible to just run the prediction under "predict" once a week up to the latest date? (Wouldn't that yield the same result?)
Here is the English translation of your Norwegian text, adhering to all the specified guidelines:
"Here is my third question. I tried to test a strategy set up by P123, but with a few minor adjustments, and I'm getting extremely different results.
It uses the same features, but the only changes were to "Max Return" and altering the universe to "Russell 1000." I also used "Time Series CV" as the validation model. Otherwise, there were no changes, yet the returns are drastically different. My minor adjustments led to an enormous change from a 32% return to 7%, becoming extremely unstable. Why is this the case?"
It cannot be the universe (both large cap), nor can I understand that the Validation Method should yield such results. Could it be due to the Max Return setting?
P123: AI Factor S&P500 - AI Factor - Portfolio123
My result:
And the P123:
