> First of all, why changing the validation settings: "OOS Minimum net profit" affect my result`?
The Optimizer (internally used in Walk Forward) validates each produced strategy variant against the validation criteria from the Walk Forward's Validation section.
It means that WF searches for the best result within the limitation of the Validation criteria. If you change the criteria, WF may accept or reject particular indicator values and ends with a different parameters set (strategy). Even if you see equal Profit for a segment, it doesn't mean that the indicator parameters are the same. You may confirm that in the Parameters section. You can also see the difference in the Statistics section segment by segment.
> How that supposed to show me the robustness of the EA? I don't get it.
I also don't see any particular benefit of that.
The WF advocates may state that the benefits are:
- The strategy is "optimizable". It means that optimization doesn't break it or even it can improve it. So, if you decide to optimize it after a period of trading, it may act well.
- Also it shows that the strategy works well for all the segment. (nothing that cannot be detected by DD and R-squared)
...
Anyway, in the way Walk Forward is publicly defined, it doesn't work well, in my opinion. We apply WF on an already tested strategy for the full data series. I mean that every strategy with a smoothly rising balance curve will pass WF by definition when we optimize each segment with +- 0 steps. The WF only proves that the Optimization doesn't destroy the performance. However, we set the Optimizer with a particular limitation.
If someone asks for my humble opinion, the Walk forward will serve its validation purpose if we initially generate the strategy on the first segment data only. Then we can walk forward on unknown and untested data.
