Originally Posted By: hughbriss
I think it would be best to run the optimisation on one pair and then use the optimal settings for all pairs. This would be more robust and less curve fitted.

Using settings from one pair for a different pair is not recommended. It would not be any more robust, it would just be less profitable or probably not work at all.

For checking if the strategy is overfitted, test out of sample. Use either:

Code:
if(Train) set(PARAMETERS+SKIP3);
if(Test) set(PARAMETERS+SKIP1+SKIP2);


for horizontal splitting, or for the final test,

Code:
set(PARAMETERS);
DataSplit = ... // 75% to 90%
NumWFOCycles = ... // 6 to 12 cycles


for WFO. Look in the manual under "Training" for details.