Could the WFE be used to determine the best OOS window size? I notice for a given system that the results vary greatly based on the OOS window size used, and that, depending on the system, a very large OOS (say seven years) is not necessarily better than a smaller one (say three or even two years). I am trying to figure out a method by which one can assess the best OOS window size to use for a system, rather than just assuming larger is better, which I don't think is true after one hits enough trades for statistical robustness. One thought is to run an analysis over the same span of data, but with a series of sequentially different OOS window sizes and then then assess WFE from those results. Of course, that suffers from the same WFA problems that you are trying to address. But there should be a method to determine the proper OOS window size (and forward window size as well) for a system. I just don't think that "longer is simply better" for some systems, particularly those that trade lower TF than the daily. As an example, the Euro today is not trading anything like it was three years ago on the 15M charts. If one is using a 5 year OOS window for a 15M breakout system, you are watching expectancy tank right now even though your past WFA may have looked great over many different settings. Now if one uses a 2 year OOS window, the same system has adjusted for market conditions. Thoughts?