Hello fellow traders, I just finished 'Trading Systems: A New Approach to System Development and Portfolio Optimisation' by Tomasini and Jaekle. They mention that every system has a point at which optimal complexity is reached, meaning that further in-sample optimization will not lead to improvements in out-of-sample testing. So my question is, at which point during development must we determine this optimal point? I suppose it should be done prior to WFA. Lets say I have 5 parameters that can be optimized, and 10 years of historical data. I use the first 8 years for optimization, with the last 2 used for out of sample testing. After this I realize that the point of optimal complexity is reached after 3 parameters are optimized. So with these 3 parameters, I proceed to do WFA, leaving the last 2 parameters untouched at all times. Is this the correct approach?