I don’t think there’s a “statistics best practice.” I’ve been trying to come up with one for years.
Here’s what I’d recommend. Assign every node a weight divisible by 4. Make changes in the weights to see if returns improve, but always keep every node’s weight divisible by 4. Once you’ve optimized the weights through slow trial-and-error, do it again but make each node’s weight divisible by 2. Stop there.
I optimize my systems using this method on subsets of my universe and subsets of my time period, always with a lot more holdings than I’m actually going to invest in, and then take the average weights from all of those systems.
This is probably way too much work for most people, and I often doubt it’s actually worth the effort.