How important do you believe it is for a strategy to perform well on other securities? For example..... Lets assume you have a strategy that opens a position in a particular stock in the afternoon, then liquidates at 9:00 AM the following morning. It is tested over 1000 days. During that 1000 days it enters a trade only 100 times. These trades return approx 80%. Now you test your strategy on 200 "walk forward" days. It makes 20 trades. And returns around 15%. It is not making a lot of trades. However, it performed well on the unseen data. Now lets say you take that strategy and try the same on on several other stocks, only to see it lose money on every other stock it tests on. Do you assume maybe this strategy only exploits an inefficiency on the first stock, or do you assume its curve fitted and just got lucky for that stock? What if assuming all of the above, except about 50% of all other stocks you tested on it made money, and the other 50% it lost money.... the ones it made money the returns, draw down, and profit factor were not even CLOSE to the original stock. Meaning original stock way out performed every other one the strategy was tested on. What conclusions would you draw from these events? Is it more important to perform well on unseen data on the original security or does it need to perform well on MOST other securities it never saw before to be robust enough to trade?