If I divide data into in-sample (up till Sept. 2007) and out-sample (from Sept. 2007 to 2010), Most strategies that perform well in-sample will be falling like a rock out-sample. But if I don't include the extreme case of year 2008 into my out-sample test data, I am cheating myself - what if another black swan event happens? Any thoughts on testing the robustness of an optimized trading strategy? And any thoughts/pointers about discovering trading strategies that can go well in all cycles, e.g. doing well in-sample (data prior to 2008) and also perform well on the out-of-sample 2008/2009? Thanks a lot!