Let's assume the very simple following strategy: buy when a fast moving average crosses upward a slow moving average, and sell when the fast moving average crosses downward the slow moving average. I am always in the market. I want to test this strategy on say 800 bars: let's call them b1 to b800. I split these 800 bars into 2 groups: b1 to b400 (Group 1), and b401 to b800 (Group 2). I then determine the optimum moving average speeds for Group 1 and Group 2. The results are: Group 1: optimum speeds are say 10/12. This is not a spike in the middle of losing combinations, all surrounding combinations also show very acceptable results: 10/11, 13/13, 9/13, etc etc... but of course, not as good as 10/12. Group 2: optimum speeds are say 20/22. This is not a spike in the moddle of losing combinations, and all surrounding combinations also show very acceptable results: 20/21, 23/23, 20/23, etc etc... but of course, not as good as 20/22. Group 1 and Group 2 were actually a little bit different in nature in a sense that Group 1 was a period showing nice trending periods, while Group 2 was a period showing fewer and slower trends. For trading in real time now, eg starting at b801, I am thinking of using the couple 11/21. 11 stands for the average of 10 and 12 (optimum fast moving average in Group 1 and Group 2), and 21 stands for the average of 20 and 22 (optimum slow moving averages in Group 1 and Group 2). I do that because I think this method is more robust than just taking the latest optimum couple 20/22 hoping that the nature of the market doesn't change too much. Note that the moving average concept works on its own reasonably well to the index I'm trading, which shows some nice tradable trends, but having variable speed and length of course... Am I fooling myself ? Or does that methodology will likely bring more robustness to my system ? Thanks a lot ! (the above moving average crossing system isn't exactly the system I am using, but I over-simplfied to make it easier to explain here. My question isn't about the system, but about methodology in seeking robustness).