I have found that sometime insanely high WFE values are caused by wrong sign management in the WFE formula.

The WFE formula is:

out of sample annualized rate of return / in sample annualized rate of return

Now... the point is that if we choose (by error or by will) a negative in sample value we're going to mess things up because if the out of sample profit will be positive the result will be negative (bad)... and that's wrong since the the out of sample is good. Vice-versa if the out of sample is negative the global WFE sign will be positive and thats also wrong.

The point is that we shouldn't never use negative in sample return while using only the sign on the out of sample in the WFE formula (note: I'm not saying to use the ABS of the in sample profit, just never ever choose negative in sample profit).

I wrote that because I have found that a couple of tools I've used to manage WFE if forced to choose not the best profit but, let's say, the best dd% can naively pick a negative in sample profit ruining in fact every WFE calculation.