I have ran across this several times so I'm wondering what's going on: I've written up a strategy and backtested it over the past 3 years for ES and it tests positive. I then try it with NQ and/or YM and find that it does not do as well, sometimes even negative or breakeven. First thought would be that it's curve fitted and optimized. But I'm also finding this with systems that don't contain any special numbers other the standard indicators (bollinger bands at 2,20, stochastics at 14, macd etc..). I'm just curious if this is really possible? I'd expect a system to do about the same for similar markets.