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  • #114040|
    Customer
    484 Posts

    This is probably an easy question to answer (please refer to the picture in the attachment):

     

    Why doesn’t the net balance of the sum of Net Profit OOS (displayed on the walk forward results & parameters table) equal the net profit on the robustness score components table of the walk forward analysis.

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    #131844
    Customer
    484 Posts

    Anyone?

    #131875
    Administrator
    1776 Posts

    Net profit displayed on robustness of the run is computed in little bit different way, it is: Net Profit IS of the first period + sum of Net Profit OOS for all periods

     

    Check the equity chart and you’ll understand it, the total net profit must contain also the first IS period.

    Mark
    StrategyQuant architect

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