Backtested a trading system that trades an index only three ways, 100% long, 0% (out of market) or 100% short from 2004-2011. This system returned 80% annualized with a 60% standard deviation over that period. Are those GOOD results? Would you could consider this just data-fitting or curve-fitting? The system is not that complicated (3 different signals) and there were at most 9 trades a month. Unfortunately there is no out of sample data I can test it on since the index was only trading 2004 onwards. In 2012 I am up 85% or so YTD.