It means that the trade return is corrected by the average price slope of the current WFO cycle. PRICES is handled in a similar way. CURVE means the price curve is tilted so that it ends at the same level as the start after the lookback period.

Much appreciated for the help, jcl.

This is my take: lets assume a stock price today 100 points higher than it was before 100 trading days, e.g on average it went 1 point higher a day. If you had an trading system which would prefer long only, you would have a big gain, but maybe just because of beta (market performance) not your trading system.

To eliminate the long bias, you would detrend the price curve, e.g. everyday you would substract 1 point (100 point / 100 days = average per day) from the daily performance and test your system on that curve.