It is recommend to work out what fitness your trading system works best with. However it is possible to curve fit fitness, almost as easily as you can curve fit parameters.
For this reason its is recommended to remove the last 3 years of data, before you run fitness stability scores.
See the picture below where 3 years have been removed.
Once fitness selection is complete, UN-tick the dates filter above so you have all your data included the last 3 years.
It will take some time to run fitness stability scores as about 35 different combination of fitness's are tried.
below is the details further on the right of the screen.
What we are looking for is good metrics. High anchored stability score, ratio IS/OOS close to 1. (0.7 to 1.3 ok), equity match degree close to 1,
and good out of sample net profit, draw-down, pearson's etc.
If no results are displayed, you can turn data filters off.
