Testing and Tuning Market Trading : [PDF Download]

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“In some cases, the programmer may find it easiest to avoid all the shuffling involved in the algorithm about to be shown. This can be done by incorporating the starting and stopping boundaries of the training set, test set, and guard buffers directly into the training and testing code. But this can be tricky itself.

Moreover, it requires highly customized training and testing code; canned or general-purpose algorithms are out of the question. The algorithms shown in this and the next section are designed to consolidate all training data into a single array of contiguous cases, and the test data into another contiguous block.

This greatly simplifies the separate training and testing code. In this section we state the general cross-validation process in simple algorithmic form to provide an overview. In the next section we’ll see C++ code that clarifies the details.

The algorithm is simple if no guard buffer is needed (omit=0). But if we need a guard buffer, compressing the training data into a single contiguous block requires either complex shuffling in place or keeping a separate copy of the dataset, copying from a source array to a destination array as needed.

We choose the latter approach, as it is not only simpler to program but also faster to execute.”

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