Performance

Overfitting Lab

The moving-average crossover is optimised on the first 70% of history (in-sample), then every parameter pair is scored on the held-out final 30% (out-of-sample). Each run is first given the bars just before its window to fill its averages, and every in-sample run starts at the same bar, so every cell trades over the same bars. Each cell is a (short, long) window pair, coloured by Sharpe ratio on a shared scale. If the strategy were robust, the two panels would look alike.