Yes, 30% AR is not bad. laugh But I think it's important to understand what's going on and why simply changing the Assets parameters seemingly for the better gives a worse backtest...

Comparing the base Transaction costs -1007$ spr, -507$ slp, -655$ rol

to my AssetsFix.csv's Transaction costs -1569$ spr, -935$ slp, -2028$ rol

shows Spread ~50% worse, Slippage almost doubled, & Roll more than tripled. I don't see that the differences in Assets parameters directly accounts for this...

The base Portfolio analysis

Code:
Portfolio analysis  OptF  ProF  Win/Loss  Wgt%  Cycles

NAS100 avg          .068  2.32   22/19    37.9  \///////
SPX500 avg          .000  0.60    7/11   -13.8  ///....
US30 avg            .056  2.23   22/16    37.2  //////./
XAG/USD avg         .020  1.74   17/17    51.1  ////X/X..
XAU/USD avg         .000  0.61   12/24   -12.5  .X/X..//


becomes

Code:
Portfolio analysis  OptF  ProF  Win/Loss  Wgt%  Cycles

NAS100 avg          .149  4.32   16/10    73.7  ///.//////
SPX500 avg          .025  1.28   10/14    11.5  ///../..
US30 avg            .105  2.22   22/15    41.8  //////./
XAG/USD avg         .004  1.10   18/24    15.5  /X/XXX..
XAU/USD avg         .000  0.67    9/23   -42.6  .XX/..//


and again I don't see a direct cause.

There is an indirect cause in that my AssetsFix.csv causes larger trades, which causes different trades to be taken. Could the optimization for one trading pattern not work for another? Since I cannot, could you Train Z3 using my AssetsFix.csv and see what results?

Thanks.