“WF Score of” with OOS ranges instead of FULL ranges
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Julian Gonzalez
1 month ago #293587
When running a WFM, my first and most important filter is: “Do 7 out of 9 WFO configurations improve the performance of the original strategy?”
To implement this filter, I am using the “WF Score of” KPI. However, this KPI compares the WFO Full Range vs. the Original Strategy Full Range (FULL = IS+OOS). I think this comparison is incorrect, because the WFO IS range is optimized and should not be part of the comparison.
In my opinion, it should compare the WFO OOS range (all run periods) with the Original Strategy results over the same OOS dates.
Am I right? Could you please consider developing this important functionality?
Alternatively, I tried, from the Walk-Forward Results screen, to include any KPI — for example, Max DD — from the Original Strategy over the OOS range, but it is always empty.
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