Topic: OOS filter?
Hi is there a filter whereby you can filter out strategies that didn't improve in the OOS?
For example, the Green section shows the equity curve of the strategy's performance under OOS data.
Some strategies improve in it's equity curve under OOS data, i.e. the equity curve goes up (instead of down), whereas there are some strategies that performed worse during OOS data, ie. the equity curve goes down.
The problem is - both these 2 groups of strategies still passed the overall performance test, ie. they both show positive equity curve.
I want to prune those Strategies that didn't make profit during the OOS data even if their overall performance show positive equity. These strategies are likely be curve fitted and hence didn't make profit in the OOS data.
So is there such a filter currently available (if yes, what is it named as?) I try searching but didn't seem to find one that fit the abovementioned function.
PS: Not all strategies that showed negative growth under OOS data means it's curve fitted. It could be that the OOS data doesn't fit the strategy's market conditions (eg. A trend strategy and the OOS data happened to be a ranging market). However if the OOS data is long enough to cover various market situations, then there is a high chance that Strategies that didn't show improvement in it's equity curve during OOS testing are likely curve fitted.