Four steps can be taken to avoid failure and increase the odds of achieving successful optimization. As a first step, optimize on the largest possible representative sample and make sure many simulated trades are available for analysis.
The second step is to keep the number of free parameters or rules small, especially in relation to sample size.
A third step involves running tests on out-of-sample data, that is, data not used or even seen during the optimization process.
As a fourth and final step, it may be worthwhile to statistically assess the results.
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