Walk-forward efficiency

The out-of-sample performance expressed as a fraction of the in-sample performance. A value well below 100% is normal and honest rather than a failure, because the out-of-sample number is closer to what live trading would deliver. Robustness also requires many profitable, evenly distributed windows with stable optimized parameters.

First used in Lesson 2.7 · Walk-forward: the honest way to test an optimized system — the lesson that makes this term real.