When optimizing strategy parameters, you look for the parameter set that generates the best objective. I found that the quality of the parameters in walk-forward testing largely depends on how you choose this objective: Profit to drawdown ratio - worst results Sharpe ratio - better results Gross profit - best results I find this a little odd, as we normally go for a good profit to drawdown ratio and not for the highest gross profit. So I would expect that an objective based on the P/D ratio gives the best results. But it's just the other way around. This seems independent on the strategy, as I use a compound strategy with many trade rules and different assets. Maybe the reason is that the gross profit is calculated in the least complicated way, and thus the strategy parameters have the most direct affect on it? Has someone else made experiments with different objectives for optimizing?