Parent: OptimizationResult
Contains the performance results of a single walk-forward optimization run, and also other information about that run.
Returns the annulaized return (APR) of the run. This is used when calculating WFO Efficiency.
Applies only if IsInSample is true. Contains an instance of the StrategyOptimizer class that contains the complete results of the in-sample optimization for this run.
Returns the end date for this walk-forward optimization run.
This property will contain the message field from any Exception that was thrown during the optimization run, or null if no Exception was thrown.
The end date for the in-sample portion of the walk-forward optimization run.
The start date for the in-sample portion of the walk-forward optimization run.
The interval number of the walk-forward optimization run. Ranges from zero to the WFO Intervals - 1.
Returns whether this instance contains the performance results of the in-sample (true) or out-of-sample (false) runs.
Returns the list of performance metric Names, obtained from the OptimizableMetricNames property of the ScoreCard that was used during this optimization.
The end date for the out-of-sample portion of the walk-forward optimization run.
The start date for the out-of-sample portion of the walk-forward optimization run.
Returns the values of this run's parameters.
Returns a Dictionary that contains entries for each of the run's performance metrics. The performance metrics themselves are determined by the ScoreCard that was used during the optimization. This Dictionary returns the metric value for each of the metrics in the MetricNames.
Returns the chronological run number of these results.
Returns the start date for this walk-forward optimization run.
The complete time span of the walk-forward optimization run, from in-sample start date to out-of-sample end date.
Returns the WFO Efficiency metric of the walk-forward optimization run. It is calculated by taking the percentage gain of the out-of-sample annualized return over that of the in-sample.