Sorry that I have taken a short trip so I cannot respond to your reply promptly.
Nevertheless, I tried your suggestions and did an experiment. For the generator, I set the data horizon to 20 weeks and used 10% for the OOS which is about 2 weeks. The max entry indicators and max exit indicators are set to 4 and 2 respectively. For the round 1, I used the historical data of 19/11/2023 to 6/4/2024 (totally 20 weeks) to generate 100 strategies from EA Studio. Then I selected the top 5, top 10, top 20, top 50 and all strategies for trading in the next week. The results are recorded. The same process was then repeated 20 times for the subsequent weeks. The table posted above shown all the recorded results.
I cannot use 3 to 5 years for the generation because it will make the OOS period too long.
You can see that most of the trading results are still losing. May I know if you have any further suggestions to improve the result?