I just finished a simple test.
What I did: generated a bunch of strategies on 20k bars, selected out most interesting ones, then put them on unseen data (amounting to 25% of generated data, 5k bars) and evaluated and categorized them further.
I ended up with 8 strats, which passed my unseen data test, and 9 strats, which failed on unseen data.
Then I ran them through Multi Markets to see what MM tells me about those strats.
I used 5 pairs, 4 in addition to 1 base pair.
Most important note is that they all failed to pass MM with flying colours.
Basic stats below (how many markets failed):
Certainly, sample size is small to have meaningful conclusions, but still a little insight.
To have a rule that a strat has to pass all markets, means there would be no strats to trade.
Allowing 1 market to fail, would net 2 tradeable and profitable strats.
Allowing 2 markets to fail, would net 8 tradeable strats, half of them unprofitable.
Nothing conclusive, but still worth thinking about.