Walk Forward optimization report
After the Walk Forward Optimization is finished a corresponding report opens. The report can be copied to clipboard (to do this click on the corresponding Copy to Clipboard icon on the toolbar or press CTRL + C) or saved in a .csv format (to save the report click on the corresponding Save As icon on the toolbar or press CTRL + S).
It is possible to display the fields for IS and OOS data separately by enabling/disabling them using the corresponding icons of toolbar: Show / Hide In-Sample Data and Show / Hide Out-of-Sample Data. In-Sample data columns are highlighted green, while Out-of-Sample data columns are highlighted blue. Both IS and OOS data columns can be displayed at a time, if both Show / Hide In-Sample Data and Show / Hide Out-of-Sample Data are enabled. NOTE: it’s not possible to hide both of them: either IS or OOS data should be displayed in the report.
The signals’ inputs can be displayed individually or in aggregated manner. To change the type of representation click on the Toggle inputs display type (aggregated / individual) icon of the toolbar.
Start and end date columns for both IS and OOS intervals can be displayed and hidden. This is done with the help of the Show / Hide date and time icon on the toolbar.
The summary for each column is represented in the lower part of the report and displays the Maximum, Minimum and Average values for each column. To hide or display this section click on the corresponding Show / Hide summary icon on the toolbar.
To apply the recommended parameters combination, click on the Apply button in the bottom of the Walk Forward Report window.
The Annualized P/L and PostOptimization Risk values are also displayed in the bottom of the WFO report.
In the Walk Forward Report settings window one can change the robustness settings. The results for the new criteria will be applied on-the-fly without the need for performing another optimization. For more information about Strategy Robustness click on What is Robustness? link.