Given a system which trades on 5 min bars, generate 30 trades per month and I have 36 months of data to test with. What are some good ways to WFT? How about optimize for 4 months, test out of sample for 1 month, then move forward 1 month and repeat? This will require 32(?) tests which is a lot of work. What about optimize on 6 months, test on 3 months, then move forward 3 months? This is 9-10 tests, more managable. Or is there a better way? What is the best, key statistic to first consider when optimizing? I lean towards Profit Factor. Second choice would be Avg P/L Per Trade. (I know DD and other factors must be considered) Thanks!