In pairs trading, you have to choose a window size for doing the regression. In fact, this is probably the only parameter that's needed. But the performance of pairs trading is very sensitive to this parameter, and in fact, the PNL can vary from very negative to very positive, depending on the value of this parameter. The sensitivity curve can be very peaked, with good Sharpe ratios on only few window size values, and with mediocre (around 0) Sharpe ratios on a lot window size values and with negative Sharpe ratios on also a lot window size values. Any thoughts? Thanks a lot!