Quote from A2ONE:
About 8 trades per month. So if I do 9 months in sample... I don't know if this is too large of a sample size to optimize on, too small, etc. Any suggestions would help...
8 trades/month * 9 months in-sample = 72 trades in-sample
It's not a lot of trades...
(Q1) How many parameters do you optimize for?
(Q2) And do you use the chosen parameter values because they conform with your understanding of some aspect of the market (although you may be 'fine tuning' them with your optimization)? Or are the parameter values just the "best" ones you can come up with by optimizing?
If the answer to Q1 is "more than 1", and your answer to Q2 is "I use these parameter values because the optimization 'says' I should", then you don't have optimization results that are significant.
In the opposite case, your backtest still doesn't include many trades, so you shouldn't rely too much on the results. So what can you do? a) Try to get some more historical data to extend the in-sample test, b) Run an extended forward test (another 50 - 100 trades?) to check at least that the strategy trades in simulation as it did in-sample, c) ... etc ...