I have come to an important conclusion. It looks too obvious to say it out loud but we sometimes need to remind ourselves of obvious and make sure what we have heard is true. Here is my conclusion: "Over-optimization could ruin a trading system." I had developed a trading system a while ago. The back-test showed profit for a 2 year period. I extended the back-test period to 3 years and then 4 years and in all cases it generated profit. This could be a good sign of a profitable system. Then I tried to optimize the parameters. I managed to almost double the profit factor for the past 3 years but when I extended the test to 4 years the system failed in the 4th year. The bottom line is that if your system shows profit and when you extend it to the past or the future (via forward-testing) and it still generates profit it could a good system. You do not really need to optimize it to make it better. Your insight is welcome.