As an interesting aside... I've been learning a ton in trying to put together a methodical process for designing a strategy (I'll share my findings for comments once I get them a little more stable) ...

But based on this new understanding of how the optimizer works, I've actually modified my process like this:

If I'm creating a new range for optimizing a parameter and do not know how it will perform, I therefore do not have an "estimated best value".

So what I do is pick a guesstimate value and run the WFO optimize. Then I look at all the optimized parameters from each cycle. I take an average of those optimal parameters and then use that figure as a "start" value and then apply a new WFO optimize. I do not think this is overfitting, because I'm simply giving Zorro a cleaner starting point (that it will use for assumptions when doing a multi-parameter optimize).