[twiecki]

Certainly that's always a risk. Zipline does however support simulating transaction-costs and slippage so those will be accounted for (as best as possible).

As for market-paradigm shifts, I totally agree. One way to deal with that is to constantly re-optimize the parameters based on recent data. This is also known as walk-forward optimization on which there is a slide at the very end (see http://blog.quantopian.com/parameter-optimization/ for a more information).

Finally, as to running multiple strategies with different parameter settings. The OLMAR paper that describes the algorithm (http://arxiv.org/abs/1206.4626) has a variation of this where they use a range of different-length moving averages, rather than just one.