Gents, I have the following WFO result and it looks promising. What parameters should I pick and how often should I re-optimize my parameters?
It's difficult to see what's going on here in your tabulated results. You have a 6-parameter optimization space, and I would suggest you find a way to visualize that parameter space. Below is how I do it, using the heat map. The x-axis is a strategy parameter, the y-axis is another strategy parameter, and the color indicates the system performance. The "hotter" the color, the better the performance. What you want to find is what I call a "plateau of elevated performance". That is, you want to see a sustained, continuous region of out-performance (as opposed to random spikes).