Hi Nicolas,
Thanks for the answer, I didn´t see before, probably didn´t check the “Notify replies by email” box 🙂
I did read before asking here the documentation you send me and I understand it, the problem and my question is that there is two different “efficiency coeficients” in the walkforward report, maybe some terms I use here are not correct because I use the spanish version and maybe the english terms are different.
The WFE that appear in the label “WF Statistics” of the report, one for each of the runs on the WF, are what you tell me: “It is simply calculated by dividing the annualized return of the out-of-sample period (OOS) by the annualized return of the optimized sample (IS)”
But there is another WFE in the label “Summary” under the MaxDD, just one no matter how many runs. That´s the one that I was asking how it´s calculated. I know it´s not calculated like the former,because doing the WF with just one run should be equal and it´s not, do you know how it´s calculated?
I send some images, I think it´s easy to understand what I say in them
Thanks for your great work with this site 🙂
.
