Yes - I found that to be true in my testing as well. The configurations optimized for highest absolute returns did very poorly in unfavorable market conditions

Yes - I found that to be true in my testing as well. The configurations optimized for highest absolute returns did very poorly in unfavorable market conditions (and max drawdown became significant), while there were some that performed moderately well and were much less affected by downturns in the market. Like most investments, it really comes down to the same thing: risk vs return.