Am I right in thinking that a perfect overall walk forward efficiency ratio would be 100% with 50% being an acceptable level and below 50% unacceptable. Over 100% would be questionable.
So an absolutely perfect walk forward test would be 100% overall efficiency ratio with say five IS and OOS periods all 100% ?
I’m still trying to decide what is a good test result and what is not. I have a daily trading strategy that has 83% overall Efficiency Ratio with IS/OOS returns of 85% 118% 59% 86% 95% when WF is run with a dummy optimization value. Only 122 trades but with a Winning Trades percentage of 97% and a Gain/Loss Ratio of 90%
Should I be pleased with this result? I’m getting a slight feeling of ‘too good to be true!’ so I am starting to question my knowledge of WF ????