Walk-forward efficiency
This is the annualized rates of return for the out-of-sample results divided by the in-sample results. This is considered a metric for measuring the trading system's robustness.
See picture below for how it is calculated.
Modified on: Sun, 29 Sep, 2019 at 6:39 PM
This is the annualized rates of return for the out-of-sample results divided by the in-sample results. This is considered a metric for measuring the trading system's robustness.
See picture below for how it is calculated.
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