OK, here's the idea. You divide the data into chunks (periods). You optimize whatever parameters on the first chunk, but not trade it. Then you trade the derived parameters on the 2d chunk. Then optimize the parameters on the 2d chunk, trade 3d chunk with those parameters. I don't know if this works, probably not. There would probably have to be a high degree of stationarity in the data for this to work well. Any thoughts, experiences? Is anyone trading like this?