Are WFO net profit results for in-sample trades or out-of-sample trades?
Author: aengland
Creation Date: 1/3/2017 2:18 PM
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aengland

#1
I've searched through the help content and don't find an answer to the subject question.

In my tests, WFO efficiency is often 0.

This leads me to think that net profits presented in the WFO results are for in-sample trades.

In turn, this leads me to think that the number of trades indicated in the WFO results are for in-sample trades.

If I am correct, then wouldn't it be a good idea to say this in a description of WFO performance results?

If I am correct, then I believe I can determine the net profit of trades for each out-of-sample interval by multiplying each WFO efficiency x net profit of trades for each in-sample interval. But wouldn't it be a good idea for the WFO performance results to also indicate how many trades are generated for out-of-sample data?

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Eugene

#2
Welcome to the forums.

QUOTE:
This leads me to think that net profits presented in the WFO results are for in-sample trades.

Yes, Net Profit and other optimization metrics (coming from selected Scorecard) are for in-sample results. However, what you see on all the other visualizer tabs (i.e. other than WFO) are WFO out-of-sample results.

QUOTE:
In turn, this leads me to think that the number of trades indicated in the WFO results are for in-sample trades.

The number of trades is for in-sample results.

QUOTE:
If I am correct, then wouldn't it be a good idea to say this in a description of WFO performance results?

It does. There's a label saying "In-Sample Results" printed on the Results tab.

QUOTE:
But wouldn't it be a good idea for the WFO performance results to also indicate how many trades are generated for out-of-sample data?

Sure. Just like I said, now that you've completed a WFO run the visualizers start displaying OOS data.

QUOTE:
In my tests, WFO efficiency is often 0.

Sometimes the zero efficiency is unexpected, and chances are you're experiencing an issue. We were unable to reproduce it. Read about the case here:
WFO Efficiency is Zero
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aengland

#3
Thanks. I don't know how I overlooked the "In-sample results" header above the table in the WFO results tab.



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Eugene

#4
Perhaps because it's not highlighted in bold or other color i.e. it isn't visibly different from the mix of tabular and textual contents of the tab.