I've been reading Robert Pardo's book "Evaluation and Optimization of Trading Strategies", in which he discusses Walk Forward Analysis at length.

He states that a reliable measure of strategy robustness is the Walk Forward Efficiency (WFE), which is simply the ratio of the out of sample profit (or other performance measure) to the in sample profit (ie the profit generated on the optimized training data set).

In Zorro's WFO performance report, we currently get the out of sample results. Is there any easy way to get the in sample results and compute the WFE? Or would I need to set up individual optimization runs that correspond to the training periods used in the WFO?

Is this a feature that is worth including in a future Zorro release?