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WFO conditions comparing in-sample vs out-of-sample

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Neil Farmer

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1 week ago #278333

Hi,

I want to compare statistics between the accumulation of all in-sample periods vs all out-of-sample periods but I cannot figure out what settings I need to put in the Filter Value conditions. I want to make sure that the average trade OOS is at least 60% of the IS average trade and similarly the annualised profit of the OOS is greater than 65% of the annualised profit of the IS.

The problem is that the calculation for IS is always just based on the first period, but not for all periods.

For example in screenshots below, IS Avg Trade = $15365 / 295 (1st period stats in screenshot) = 52.08

However, the OS Avg Trade is as expected = $31555 / 504 (total net profit for all OS periods and total number of trades for all OS periods = $62.61

How do I set it up so IS Avg Trade uses values from all IS periods?

Thanks,

Neil

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Neil Farmer

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6 days ago #278334

I’ll answer my own question!

I found this page: https://strategyquant.com/codebase/walk-forward-optimisation-metrics/

I built custom databank columns based on @clonex code to calculate the IS values.

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tomas262

Administrator, sq-ultimate, 1 replies.

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6 days ago #278350

Hi, yes, that’s it. Let us if any further issues

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