Search Framework:
WFOResult
Namespace: WealthLab.Backtest
Parent: OptimizationResult

Contains the performance results of a single walk-forward optimization run, and also other information about that run.

Members
AnnualizedReturn
public double AnnualizedReturn

Returns the annulaized return (APR) of the run. This is used when calculating WFO Efficiency.


BaseOptimization
public StrategyOptimizer BaseOptimization

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.


EndDate
public DateTime EndDate

Returns the end date for this walk-forward optimization run.


ErrorMessage
public string ErrorMessage

This property will contain the message field from any Exception that was thrown during the optimization run, or null if no Exception was thrown.


InSampleEndDate
public DateTime InSampleEndDate

The end date for the in-sample portion of the walk-forward optimization run.


InSampleStartDate
public DateTime InSampleStartDate

The start date for the in-sample portion of the walk-forward optimization run.


IntervalNumber
public int IntervalNumber

The interval number of the walk-forward optimization run. Ranges from zero to the WFO Intervals - 1.


IsInSample
public bool IsInSample

Returns whether this instance contains the performance results of the in-sample (true) or out-of-sample (false) runs.


MetricNames
public List<string> MetricNames

Returns the list of performance metric Names, obtained from the OptimizableMetricNames property of the ScoreCard that was used during this optimization.


OutOfSampleEndDate
public DateTime OutOfSampleEndDate

The end date for the out-of-sample portion of the walk-forward optimization run.


OutOfSampleStartDate
public DateTime OutOfSampleStartDate

The start date for the out-of-sample portion of the walk-forward optimization run.


ParameterValues
public List<double> ParameterValues

Returns the values of this run's parameters.


PerformanceMetrics
public Dictionary<string, double> PerformanceMetrics

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.


RunNumber
public int RunNumber

Returns the chronological run number of these results.


StartDate
public DateTime StartDate

Returns the start date for this walk-forward optimization run.


TimeSpan
public TimeSpan TimeSpan

The complete time span of the walk-forward optimization run, from in-sample start date to out-of-sample end date.


WFOEfficiency
public double WFOEfficiency

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.