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I think this is the mistake a lot of system traders make--they try to maximize things particularly with a singular focus on profit/CAGR. Sure profit is important (after all that is why we trade), but for me it is all about reliability and predictability of consistent future returns. In other words, does my system generate a profit across a range of different out of sample data. I'd much rather live trade a system that returns 10-15% CAGR consistently across a broad range of out of sample data than a system that generates a 45% CAGR with unknown certainty across out of sample data. In my experience, high tuned and maximized system tend to be very unreliable and unpredictable on out of sample data and those with a more "good enough" approach tend to be more predictable across out of sample data.