The market is really efficient. Do you see the plethora of Sector Rotation Systems out there now? It means that the market will digest these strategies soon, if not already, and the advantages will diminish and/or go away. So, I think the return going forward will be less than the back test. You can already see some of the Sector Rotation systems plateauing out.
A classic example is the Opening Range Breakout (ORB) System. When it was first disclosed, it was doing great. Then the market absorbed it and the opening range was slowly expanded from 1/2 hour to an hour to sometimes till lunch time, depending on what system you were looking at. Once people get tired of the system and abandon them, they slowly regain their effectiveness again.
That is the reason why I want a stop loss built into this system so that if it collapses, we don't lose everything.
I hope we have some good discussion on your question.