Walk-Forward AnalysisStatistics & Robustness
Statistics & Robustness
The WFA Statistics panel (top of the right column) shows aggregate metrics computed across all completed folds. These are the key numbers for judging whether a strategy is genuinely robust.
Robustness Score (0–100)
The Robustness Score is a composite 0–100 number that blends five independent signals into a single, easy-to-read grade. It is displayed prominently at the top of the statistics panel with a colour-coded bar.
Score Labels
| Range | Label | Color |
|---|---|---|
| 80–100 | Excellent | Green |
| 65–79 | Good | Green |
| 50–64 | Fair | Yellow/Amber |
| 35–49 | Weak | Red |
| 0–34 | Poor | Red |
Component Signals
WFEWalk-Forward Efficiency — ratio of OOS to IS performance
Profitable %Percentage of folds with positive OOS P&L
OOS SharpeMean fold OOS return / std dev of fold OOS returns
IS/OOS CorrelationHow well IS ranks predict OOS ranks (Pearson r)
OOS Profit FactorAverage OOS profit factor across all folds
Interpretation:A score of 65+ means the strategy performs consistently out-of-sample and IS results have predictive power. Scores below 35 suggest the strategy is curve-fit and unlikely to hold in live trading.
Aggregate Metrics
The Aggregate section summarises total and average performance across all folds.
| Metric | Type | Description | Color Logic |
|---|---|---|---|
| Walk-Forward Efficiency | wfe | avgOOSReturn / avgISReturn × 100. The headline robustness ratio. | ≥ 50 → green, < 50 → red |
| Folds | foldCount | Total number of completed fold windows. | Neutral |
| Total OOS P&L | totalOOSPnL | Sum of net P&L from all out-of-sample windows combined. | > 0 → green, < 0 → red |
| Avg IS Return | avgISReturn | Mean of net P&L values across all in-sample windows. | > 0 → green, < 0 → red |
| Avg OOS Return | avgOOSReturn | Mean of net P&L values across all out-of-sample windows. | > 0 → green, < 0 → red |
| OOS Max Drawdown | oosMaxDrawdown | Maximum drawdown encountered across all OOS windows. | Always red (drawdown is always negative). |
| Total OOS Trades | totalOOSTrades | Sum of trade count from all OOS windows. | Neutral |
| OOS Win Rate | oosWinRate | Weighted average win rate across all OOS windows (total wins / total trades). | Neutral |
OOS Consistency Metrics
The OOS Consistency section measures how stable and reliable the out-of-sample results are across folds. These are advanced robustness signals.
| Metric | Formula | Interpretation |
|---|---|---|
| Folds Profitable | (count of folds with OOS P&L > 0) / foldCount × 100 | Percentage of folds that ended positively. ≥ 60% is a good sign. Color: same threshold as WFE (≥ 50 → green). |
| OOS Sharpe | mean(OOS returns per fold) / stdDev(OOS returns per fold) | Risk-adjusted consistency of OOS returns. > 0 is positive; > 1 is strong. Colored like P&L. |
| IS/OOS Correlation | Pearson r between [IS return per fold] and [OOS return per fold] | How well IS optimisation results predict OOS performance. ≥ 0.5 → green, 0.2–0.49 → amber, < 0.2 → red. |
| Avg OOS Profit Factor | mean(OOS profit factor across all folds) | > 1.0 means the strategy made more gross profit than gross loss on average. Colored relative to 1.0. |
| OOS Return Std Dev | stdDev(OOS net P&L per fold) | Spread of OOS results across folds. High std dev means inconsistent behaviour. Neutral color. |
Walk-Forward Efficiency — Deep Dive
Per-Fold WFE
Computed for each individual fold:
wfe = (oosReturn / isReturn) × 100
- If IS return = 0 → WFE = 0
- Negative IS return inverts sign
- Shown in the fold table WFE % column
Aggregate WFE
The headline WFE displayed in the stats panel:
WFE = avgOOSReturn / avgISReturn × 100
- 50 % = OOS earns half what IS earns on average
- 100 % = near-perfect transfer out-of-sample
- > 100 % = OOS outperforms IS (uncommon)
Quick Reference Benchmarks
| Metric | Weak | Acceptable | Strong |
|---|---|---|---|
| WFE | < 25 % | 25–50 % | > 50 % |
| Robustness Score | < 35 | 35–65 | > 65 |
| Folds Profitable | < 50 % | 50–70 % | > 70 % |
| OOS Sharpe | < 0 | 0–0.5 | > 0.5 |
| IS/OOS Correlation | < 0.2 | 0.2–0.5 | > 0.5 |
| Avg OOS Profit Factor | < 1.0 | 1.0–1.5 | > 1.5 |