I have a strategy and a data set. Strategy exits positions end of day. I realize this is not mathematically correct but does it give an approximate solution. Split data into parts A and B. Optimize strategy on data set A, assume single input parameter for simplicity result is OA. Optimize strategy on B, result is OB. If by chance OA=OB you have the solution. If OA not equal OB. Average result? Run optimization on entire data set but limit parameter to OA, OB and and all values in between.
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