The equity curve below is from a WFO test of a simple trend following system from a trading book: This is an interesting curve. From 2004 to 2010, the system generates each year about the same profit with a quite good Sharpe ratio. When you trade such a system for 6 years, you certainly grow confident that you have a steady source of income. However in fall 2010, the same system suddenly starts to generate huge losses, and does not recover, even though its parameters are regularly adapted to the market by WFO optimization. The GBP/USD market must have changed by the end of 2010 in a way that even parameter adaption can not save the system. Nothing in the 2004-2010 performance curve and no advanced test, such as WFA or Monte Carlo analysis, would foretell such a dramatic change. No matter how well you know a system, it seems to be always possible that it suddenly starts generating huge losses without apparent reason.