Let's say I want my strategy to perform best in Dec 2023 - would it be best to optimize the strategy based on data from the last 3 months, the last 6 months, Dec 2022, or some other specific dataset for the optimization process? Obviously, past performance doesn't guarantee future results, but I'm curious how should one optimize their strategy!
Also is there a method for integrating different data segments during the optimization phase (like optimizing the strategy based on December months from the past 10 years for example? Does NJ8 provides techniques like random sampling, k-fold cross-validation, etc. for strategy optimization?
Any insightful advice, recommended resources, or informative reads on this topic would be greatly appreciated. Thank you!
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