Pure mechanical or system traders will tell us these two things: 1. No system will last forever. It'll break down as the market changes. 2. Mechanical/System traders have to modify or come up with new set of rules/systems as the market changes and their current systems loses their edge. 3. Backtest should best be done over price data that encompass the entire history of the market u're planning to trade the system. (With anti-optimisation measures like seperating data into forward and backward of course) All traders who backtest will agree that we must backtest as far as as we can for a market. But as systems which performed well over historical data "stopped working", wouldn't there be lesser systems/edges that can perform well both over historical and new data? Say there are 10000 systems (both discovered and undiscovered) which works over the entire history of ES. 5000 failed as the market changes. There will be 5000 left. The original 10000 that works doesn't increase as historical data is static. Sooner or later....we're gonna run out of edges that performs well in backtest over historical data!