George's optimization seemed pretty simple to me; its features were
- First Parameter: 4 steps
- Second Parameter: 4 steps
- Third Parameter: 19 steps
- Fourth Parameter: 19 steps
- Portfolio = only one futures market (Crude Oil)
- EOD data, 1/1/1986 to 11/30/2008 (roughly 5800 bars)
George really needs to get a copy of Trading Blox!
George's system is a Lee Gettess / Larry Williams style Volatility Breakout system using EOD data: buy at (Open + (param3 x volatility)), sell at (Open - (param4 x volatility)). I've attached my Blox source code, along with my parameter setup values (encapsulated in the Simulation Suite). George, and anybody else who's interested, can download the code and experiment with it in Trading Blox.
Edit: added "Volatility Breakout" discussion