Walk-forward efficiency
How much of a strategy's tuned performance survived on data the tuning never saw.
Formula
Efficiency = Mean out-of-sample score ÷ Mean in-sample score
How to read it
Around 1 is honest; near 0 means the parameters were fitted to noise.
How to use it
The single best test of overfitting: tuned settings that do not survive unseen data were fitted to noise.
In Kereon
Strategies. Averaged over the walk-forward windows, using the objective the tuning maximized.
Also called: walk-forward efficiency.