SPEC-EAV-001 v0.2 · Layer L3 Execution and verification
E-01 Walk-forward degradation
E-01 measures how far performance falls between the fitting window and the validation window. The ratio of the two is computed, and the trend of degradation across successive windows is read alongside it.
What it examines
Performance in the fitting window against performance in the validation window.
How it is computed
Ratio of validation-window performance to fitting-window performance, computed per window and read as a trend across windows.
What a defect means
A sharp fall in the validation window means the system is fitted to the training window. Degradation is the most direct measure of how far a backtest can be trusted.
Judgment states
| Pass | The structure is observed and meets the threshold. |
|---|---|
| Caution | The structure is observed but sits at the boundary of the threshold. Evidence figures are presented alongside. |
| Defect | The structure is not observed, or clearly falls outside the threshold. |
| Not judgeable | The required input data is absent. Marked distinctly from a pass. |
Threshold
Not fixed. Determined from calibration data. See SPEC-EAV-001 §11.
Basis
Jung Chunghwa, FX Market Structure and Systematic Trading (2026), ISBN 979-11-220192-1-6. Research note R-001, Structural problems of EA-based systematic trading (2026-08-20).
Questions this item answers
- What walk-forward degradation ratio indicates overfitting?
- How do I read walk-forward results correctly?
Related items
Related terminology
Revision · SPEC-EAV-001 v0.2 · 2026-08-21