In-Sample return for Walk Forward Analysis?

In-Sample return for Walk Forward Analysis?

Back to threads - Tags: walk-forward ,optimization

Praveen Baratam
2016-08-31 15:47:08

How is the Cumulative In-Sample return for Walk Forward Analysis calculated?

Example WFA Report - http://goo.gl/J8CEdy

In the above report the "In-Sample Annual Return" for all the periods is greater than 35% but the cumulative annual return used for the calculation of Walk Forward Efficiency is 13.7%

How is this possible? How is the Cumulative In-Sample Annual Return (Depicted in Red in the above link) calculated?

Am I missing something?

QuantShare
2016-09-01 11:03:42

The cumulative in-sample return is calculated by taking the sum of profits/loss for every in-sample then annualizing the result using the sum of the trading days in all in-samples as period.
Please send support an example that can help us reproduce this so that we can analyze it and explain what is going on.

Kiran
2019-05-08 20:44:06

This seems to be a bug with the Cumulative Annual Return. I'm using contiguous, non-overlapping out-of-sample periods (from 4/1/2014 - 5/1/2019), and the Average Annual return per oos period is 28%, but the Cumulative annual return is 9% - Cumulative return should be close to 28% (despite some divergence due to laws of compounding).

https://drive.google.com/file/d/1kwvIFQ0siX9DI6pFF1TvBXUenB0tjHsD/view?usp=sharing

QuantShare
2019-05-09 09:57:23

This can happen. If you have a year with 90% return and another one with -45% return then the average annual return would be 22.5% while the cumulative return is 4.5%.

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