data extension

Alphathon
#1

Hello Alphien,


I hope you’re doing well and wish you happy holidays.


We are working on new strategies using Machine learning techniques. But we are facing a bit of a problem regarding the data available. We need an extending window for training and testing a solid model.

we actually need historical data from the periods before 2003 and/or after 2016, I want to know how we can get this data extension and if there is a limit its length ( 2 years/5 years /10 years).


Thanks in advance for your replies.



#2

Hello,


You won’t be able to get data before 2003 or after 2016. The data youre allowed to use should fall within the 2003::2016 universe. May I know what issues you are facing regarding the current data?

#3

Hello,


As the first weights have to be generated before / on 02/01/2004 (1 year calibration/training), the concern is that the model we are trying to implement is trained over a period longer than one year ! 



#4

Hello,


In this case I suggest that you start with an initial period of 1 year of training, and then apply an expanding window.


Hope this clears it up

#5

Hello Yongcheng,


Happy new year to you and Aphien team,

Thanks for your reply and explantation, it’s clear for me,


Regards,


Zakaria