Thanks jcl.

I was hoping to save some of that effort if the answer is already known. Or at least better target the investigation...

Summary of what I think I experienced, so far: A Strategy's results are directly influenced by the account Leverage (only - nothing else was changed). Different Leverage gives a different trade mix and the results will be different, sometimes dramatically. Nothing is "wrong" per se, and individual trades remain optimized per the Train. But the mix difference means less (or un-) profitable Assets may end up being traded more than the more profitable one(s). Excluding an unprofitable Asset(s) does not return the Strategy to the original Leverage's results.

In that context, are either or both of these true?

a) A difference in Leverage should not change the Test trade mix! There is some problem which needs to be identified!

b) If an Asset(s) are Excluded, the Strategy must be reTrained since different trades will be taken for the non-Excluded Assets. Using the prior optimization values will lead to different Test results.

Thanks.