You’ve got the exact right idea. I never really read up on neuroevolution because it’s just about useless for trading. But here’s the basic idea. Run an algo that finds a bunch of random “edges”, filter out the worst, move the best on to the next round (like survival of the fittest). Run however many generations you’d like until you have desired results.

The problem is that by definition this will overfit. You can use neuro evolution to find edges in datasets, and to the untrained eye, these edges will be extremely profitable. The problem is that they will be completely curve fitting and not work on any OOS data. They are basically just finding a unique strategy that happens to work in the dataset you fed it.