WF Matrix Results

I seem to be working through the entire SQ process fairly well, learning and improving along the way.  I have gotten tripped up a bit in the WF Optimization and the WF Matrix Optimization as far as setting the parameters for pass/fail properly, and interpreting the results properly.

 

Please see the attached samples of a strategy that I believe is decent.  There are three problems though:

 

1) the 3D charts look to have sharp moves on them which is a sign that it is not really as robust as the test scores reflect.  Am I interpreting the attached 3D chart right?

 

2) I’m not sure my parameters in the attached pics are valid for determining a good robust strategy (too strict, too loose, irrelevant?)

 

3) Even after all this testing, when I brought back the testing year from 2007 to 2003, it was essentially stagnate the entire 4 years which tells me it was curve fitted for a specific period in time even though I used rigorous OOS methods along the way; or, it’s just that the strategy needs to constantly be reoptimized to perform properly with current market conditions, which is in line with the WF Matrix results since it tells me I need to reoptimize approximately every 6 months.

 

Also, I run tests based on .01 lot size.  Any feedback would be appreciated.

Thanks,

Todd