Folder: “Optimization Summary (IS)
The Optimization Summary (IS) shows reports about all In-Sample (IS) runs:
- Run: The total number of runs is determined by the field “Runs” in the EWFO control input.
- Inputs: The best values for the parameters being optimized during this IS run.
- Period: This is the period of the IS run
- Days: number of Calendar-days of the IS run
- Bars: number of bars of the IS run - Net Profit: Net Profit of the IS run
- Drawdown: biggest Drawdown during the IS run
- # of Trades: Number of Trades during the IS run.
- % Profitable: Percent of trades which were profitable during the IS run
- Avg Trade: The average trade in of the IS run (this includes the reporting commission).
- StdDev: Standard Deviation of all trades during the IS run.
- PFact: Profit Factor during the IS run
- Pearson: Pearson correlation to perfect straight equity line of 45 degree for this IS run.
- Sharpe: Sharp ratio for this IS run.
- # Wins: number of winning trades for this IS run.
- # Losses: number of losing trades for this IS run.
Annualized P/L: Average Profit or Loss for the total of all In-Sample runs.
Final: The line with the run=Final shows a run with all the In-Sample periods combined. The equity curve for this run is shown in the folder Graphs as the blue line.