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I would like to see 3 separate equity lines. Original, In sample (Green Bits Underneath), and Out Of sample (red bits underneath). This will then allow several more important, yet still basic, measurements; Walk Forward Efficiency Ratio - this compares the rate at which the Optimised Out Of Sample equity made profit compared to the Optimised In Sample equity line. I would also want to compare my own retest-OOS date period Optimised Out of Sample equity line with the Optimised In sample equity line during my Retest-OOS period and calculate the Walk Forward Efficiency Value for this period too. I would also like to compare the original equity line with the Optimised In Sample Equity Line to see if the strategy responded to optimisation in the first place. I consider these 3 calculations basic filters if Walk Forward Analysis is going to be conducted at all. Obviously all 3 equity lines will be different in length due not the nature of walk forward, but this should not be prohibitive to its implementation, and the ability to define the period for which the filters are measuring the values shouldn’t be that hard either.
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TODO:
Add one more option "3 lines" to switch Full sample / IS / OOS new chart type - it will display three equity lines: original, green (optimizing in sample part), red (optimized part run on unknown data.
Milestone changed from Build 114 to Build 115
Category changed from None to UI