I'll show one example, which still gets me curious about this EA stuff.
lies an indicator, lib and EA
You can easily optmize this EA to become profitable
by modifying only these parameters:
ATRPeriod (3 to 9)
Factor (2 to 6)
Trade1VolumeFactor (0 to 1)
Trade2VolumeFactor (0 to 1)
Trade3VolumeFactor (0 to 1)
Practically any pair, any timeframe, any period
(I've found H1 and GBPJPY to be the most sucessfull).
For example, on $10K account this set of parameters
would make a wooping $9K just from
September till December 2009
(Don't try to trade it in real account, because
it could enter up to 3 trades per 1 signal
with "huge" (in scalping terms)
target-profits and stop-losses of around 100 pips).
Fine, is it Holly Graail?
Not really, just because set of best
performing parameters is different every time.
So, even if you know set of of best (or at least
profitable) parameters for the previous month,
you will be dissapointed next month (or even week)
with these parameters - they lead to complete lose,
while another (unknown yet to you) set of parameters
could exist - but useless, because unknown and not stable,
and not repeating.
I've spent a fortune, trying to understand the reason of the problem
and still don't know why,
but I do know much about EA optimization now.
For any past period you could optmize nearly
every EA (even $99 rubbish one) to become
super-graal. The problem is, that these
parameters won't work (usually) in a future
and nobody will tell you.
To find stable set of repeatevely profitable
parameters - this is the case, which I
cannot fulfil yet for any of EA from my big collection.
So, results of the backtest doesn't mean much.
They only make sense, if set of parameters would
continue to work again and again,
and simple optmization couldn't help much here.
Myabe another method exist, but I'm not aware about it.