The bug is that all table results shown in columns reporting "Walk-Forward Optimization, WF Result" include the first segment of the full analysis, and this first segment does not belong to Walk-Forward Optimization, because it is just In Sample. This is proven by Figure 1 (attached here). Figures 2 and 3 are used to show that this segment is included in the "Walk-Forward Optimization, WF Result" column, while the OOS results of WFA are not listed in the table. In fact, it is impossible to show WFA OOS results in the table, because this option does not exist. If we create a column to show OOS results, what is shown is the OOS of the original strategy, and NOT the OOS results of Walk-Forward Analysis.
This is another serious bug that has dramatic effects in the results, particularly because quant strategy developers will inevitably use the columns to sort strategies based on WFA OOS results. If these results are including In Sample data, they are conceptually wrong.
Would you please fix this?
Jose