Walk-forward analysis · ONE_HOUR · 10 windows · parameters selected on sharpe
Marginal at best: sharpe degrades by 1.12 from in-sample to out-of-sample, which is the signature of a curve-fitted parameter search.
Out-of-sample return minus buy-and-hold over the same period. Bars below the line are windows where simply holding the asset would have done better. Beating zero is not the bar; beating the benchmark is.
Each point is one window. The dashed diagonal is a strategy that held up exactly. Points below it degraded once the parameters met data they were not fitted to — a cloud sitting well below the line is the signature of a curve-fitted search.
| # | Test from | IS return | OOS return | Benchmark | Excess | OOS Sharpe | Trades | Parameters |
|---|---|---|---|---|---|---|---|---|
| 1 | 2025-10-07 | +7.96% | +2.29% | -8.95% | +11.23% | 1.64 | 3 | rsi_window=10 |
| 2 | 2025-10-24 | +2.11% | -5.36% | -4.84% | -0.53% | 0.00 | 2 | rsi_window=10 |
| 3 | 2025-11-10 | +0.19% | -6.21% | -15.00% | +8.78% | -2.51 | 1 | rsi_window=30 |
| 4 | 2025-11-27 | -6.53% | +4.12% | -1.13% | +5.25% | 2.36 | 1 | rsi_window=30 |
| 5 | 2025-12-13 | +4.80% | +0.97% | -2.58% | +3.56% | 0.80 | 1 | rsi_window=20 |
| 6 | 2025-12-30 | +7.02% | -0.79% | +8.78% | -9.57% | -0.92 | 3 | rsi_window=8 |
| 7 | 2026-01-16 | +4.72% | -16.95% | -19.05% | +2.11% | -9.88 | 1 | rsi_window=20 |
| 8 | 2026-02-01 | -4.52% | -7.01% | -12.35% | +5.34% | -2.30 | 1 | rsi_window=20 |
| 9 | 2026-02-18 | -20.84% | +6.83% | -4.68% | +11.51% | 0.00 | 4 | rsi_window=12 |
| 10 | 2026-07-15 | -21.66% | +0.51% | -2.71% | +3.21% | 0.61 | 3 | rsi_window=12 |
Searching a parameter grid and reporting the best result biases that result upward whether or not the strategy has any edge. With enough attempts, something looks good. These numbers say how good, by chance alone.
Sharpe is not positive, so there is nothing to deflate.
Deflated Sharpe is the probability the result reflects skill rather than selection, measured against what the best of 6 zero-edge attempts would be expected to produce. The conventional bar is 95%. It also accounts for the shape of the returns — skew -0.22 and kurtosis 15.0 against 3.0 for a normal distribution — because a plain Sharpe overstates a strategy that wins small, loses big, and has fat tails.
How much the search moved between windows. A coefficient of variation above 0.5 means the optimiser kept landing somewhere different each time, which is what fitting noise looks like — however good the returns are.
| Parameter | Mean | Stdev | Coef. of variation | Selected per window |
|---|---|---|---|---|
| rsi_window | 17.20 | 8.12 | 0.472 | 10, 10, 30, 30, 20, 8, 20, 20, 12, 12 |