BlaiserBoy -- I defer to you.  Many moons ago you were the one who turned on the light bulb for me and reminded me that indicators and EAs are not a black box -- they're just algrebra...   

This is a good question -- but there is no right / wrong answer.  And that's because the settings you choose can only be determined empirically -- i.e. by testing and trial / error.  And since there are a zillion ways to create a portfolio EA, then no one person will have exhaustively tested all possibilities.

My experience is the shorter the data horizon the better -- with the caveat you need a minimum number of trades for the stats to be statistically significant.  The general rule of thumb in statistics is the sample size should be at least 100.  And if you've been following the law suit between Elon Musk and Twitter you may have read that Twitter estimates the number of fake accounts using a sample size of 100 -- but that's neither here nor there.

After looking at charts I will often go with a smaller sample size because I really, really want the data horizon to be as short as possible.  And that is because I trade in real time.  Sometimes there will be as few as 20-30 trades.  But if the balance chart looks linear then that's good enough for me.

I favor the H1 time frame and a one-month data horizon works for me.  BlaiserBoy prefers a 3-month data horizon, but that may be because he prefers trading longer time frames, in which case he would need a longer data horizon to reach a minimal sample size of trades.  If you are trading M5 then you could probably get by with even a shorter data horizon than me -- perhaps even just 1 week.

The reason you are generating so few strategies is because your conditions are too stringent.  Under 'Optimize Strategies' I only use 'Full Data Optimization'.  Also, though I used to use Monte Carlo -- no more.  Monte Carlo tests for rare events -- but that comes at the expense of ignoring strategies that would otherwise perform well in the short term.   Since EA Studio is so fast and easy to use we don't have to worry about our strategies lasting for months or years -- we can make a new batch of strategies every week, every day, every hour -- whatever you want. 

Keep in mind that our input data is not static -- market conditions are always changing.  The market's data patterns last week may be different than next week.  Monte Carlo is intended to be used with static data sets that don't change and to determine the input data's degree of randomness, which is of questionable relevance when it comes forex price data -- in my opinion.  So -- I think including Monte Carlo does more harm than good -- a statement that will probably get me into trouble.

Hey,
Sleytus.
Do you really mean you use less than 3months of H1 data to generate strategies?Or you refer to just OOS analysis? How much data for H1 will you normally use in the generator?