Although I am a discretionary trader and not a systems trader, I have in my possession a book which may be of value for systems trading: Trading as a Business, by Charlie Wright (Designed for use with Tradestation) I got it from a friend a few years ago, and I think its only available directly from the Tradestation people It addresses the aspect of robustness by examining the best systems in different market environments. For example, I recall it discussing the use of a) moving average systems for trending markets b) oscillators for rangebound markets c) price patterns for volatile markets It states that no one system can work in all market environments but that, given a specific environment, certain systems have greater efficacy. I stopped hunting for my Holy Grail system / indicator many years ago. Market conditions can change very frequently intraday, so I use my discretionary assessment of the sort of market conditions currently prevailing, use a stop loss and take a bet ... I have no quantifiable system per se, but my P&L is generally in good health, and I use that as my performance quantification.