Walk-Forward Optimization Dashboard
Out-of-sample backtesting results from an algorithmic trading research system. Each validation window shows performance on data the model never saw during training.
Total Runs
8
Validation Windows
268
Avg Sharpe
-1.29
Avg Win Rate
40%
Best Window Return
+15.49%
Equity Curves — Out-of-Sample Performance
Strategy Comparison
| Strategy | Runs | Windows | Avg Sharpe | Avg Win Rate | Avg Profit Factor | Avg Max DD | Total Trades |
|---|---|---|---|---|---|---|---|
| MLP Classifier | 2 | 80 | -4.23 | 32% | 0.55 | -3.00% | 17,199 |
| TCN Classifier | 3 | 120 | -0.02 | 43% | 1.15 | -0.78% | 288 |
| TCN Action (NQ) | 3 | 68 | -0.08 | 43% | 2.36 | -0.98% | 200 |
Per-Window Performance
Raw Window Data
| Window | Cum Return | Sharpe | Sortino | Max DD | Trades | Win Rate | Profit Factor |
|---|---|---|---|---|---|---|---|
| 1 | +10.43% | 79.28 | 138.06 | -0.18% | 379 | 25% | 0.41 |
| 2 | -3.00% | -22.06 | -32.14 | -3.80% | 121 | 31% | 0.39 |
| 3 | -5.18% | -49.83 | -43.31 | -5.20% | 201 | 33% | 0.66 |
| 4 | +2.21% | 20.91 | 24.86 | -0.36% | 213 | 39% | 0.67 |
| 5 | +3.24% | 22.72 | 44.92 | -0.80% | 211 | 29% | 0.34 |
| 6 | -3.28% | -20.40 | -36.25 | -3.53% | 378 | 42% | 1.13 |
| 7 | -9.77% | -109.24 | -97.08 | -9.77% | 228 | 39% | 0.35 |
| 8 | -4.38% | -67.47 | -92.74 | -4.44% | 400 | 25% | 0.27 |
| 9 | -7.08% | -82.23 | -100.29 | -7.08% | 378 | 35% | 0.44 |
| 10 | -1.42% | -24.99 | -13.54 | -1.57% | 124 | 35% | 0.41 |
| 11 | +0.10% | 8.22 | 12.52 | -0.01% | 5 | 0% | 0.00 |
| 12 | -1.46% | -10.87 | -15.33 | -1.81% | 9 | 22% | 0.19 |
| 13 | -0.10% | -2.12 | -1.87 | -0.40% | 103 | 26% | 0.52 |
| 14 | -1.30% | -12.26 | -14.67 | -1.69% | 161 | 38% | 0.85 |
| 15 | -2.87% | -22.96 | -19.54 | -3.17% | 151 | 33% | 0.50 |
| 16 | +1.51% | 36.62 | 32.01 | -0.09% | 109 | 31% | 0.38 |
| 17 | -0.98% | -9.63 | -14.91 | -1.81% | 222 | 25% | 0.30 |
| 18 | -0.52% | -12.54 | -5.05 | -0.78% | 31 | 23% | 0.17 |
| 19 | +5.87% | 73.23 | 240.18 | -0.15% | 251 | 41% | 0.81 |
| 20 | +8.53% | 73.86 | 136.91 | -0.37% | 245 | 32% | 0.53 |
| 21 | +0.73% | 20.44 | 197.89 | -0.03% | 22 | 23% | 0.23 |
| 22 | +0.09% | 0.66 | 0.96 | -0.79% | 109 | 31% | 1.00 |
| 23 | +4.23% | 34.27 | 41.29 | -0.61% | 364 | 34% | 0.86 |
| 24 | -10.87% | -115.26 | -146.44 | -10.88% | 408 | 38% | 0.44 |
| 25 | +0.00% | 0.00 | 0.00 | +0.00% | 0 | 0% | 0.00 |
| 26 | -3.65% | -36.48 | -42.01 | -3.74% | 113 | 32% | 0.28 |
| 27 | -12.86% | -139.52 | -123.26 | -12.87% | 359 | 36% | 0.49 |
| 28 | -0.45% | -2.67 | -3.06 | -2.03% | 64 | 39% | 0.67 |
| 29 | -0.40% | -2.89 | -4.34 | -1.39% | 44 | 32% | 0.93 |
| 30 | -3.28% | -27.93 | -28.15 | -3.57% | 315 | 28% | 0.39 |
| 31 | -3.96% | -33.50 | -40.91 | -3.96% | 203 | 37% | 0.47 |
| 32 | +12.93% | 90.89 | 190.99 | -0.17% | 353 | 31% | 0.89 |
| 33 | -5.25% | -49.23 | -61.97 | -5.25% | 145 | 38% | 0.39 |
| 34 | -6.46% | -46.99 | -70.16 | -6.97% | 274 | 36% | 0.34 |
| 35 | -1.77% | -15.97 | -22.21 | -2.30% | 259 | 27% | 0.35 |
| 36 | -0.92% | -8.36 | -11.73 | -1.25% | 187 | 39% | 0.55 |
| 37 | +15.49% | 114.38 | 159.68 | -0.25% | 532 | 27% | 0.52 |
| 38 | +4.81% | 30.64 | 38.66 | -0.66% | 213 | 23% | 0.41 |
| 39 | -1.99% | -23.60 | -19.71 | -1.99% | 154 | 34% | 0.63 |
| 40 | +0.36% | 13.26 | 8.46 | -0.05% | 15 | 53% | 1.94 |