I am also very curious why the result is so strange. If you generated a group of profitable strategies for the period 1 to period n, you expect that the group of strategies is also profitable in period n + 1. Or at least they are not losing. It seems that this assumption is not true. If the profitability of a strategy in the past is not related to the profitability in the future, what is the point to do backtesting?
Ricky Suen