As I am new to all of this, I am having trouble finding a decent explanation of the best way to perform out of sample and forward testing?
Say I tested my system from '90 to '01, how would I then do effective out of sample and forward testing?
Would out of sample be small periods outside of my originally tested range? And is forward testing from '01 to say '08?
If so, how then do I look at the different sets of results to make a decision? Should a good system have results that are closely correlated? If not, what?
Thanks for your help.