Hey guys,
here is my answer. When we use the OOS the complete backtest is the sum of In Sample and Out of Sample part. But, if we select r-squares higher than 70 for example, this does not mean that In Sample will be above 70 or Out of Sample will be above 70. Actually, it could be much lower. See example:
That is why in the course I teach that it is good to place values for the In Sample part, and for the Out of Sample part, and at the same time for the Complete Backtest. This way we will make sure that each part will have smooth equity line.
Hope that makes it clearer.
Cheers,