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I think that because most system traders trade in a non-market-cap-weighted fashion that any comparison measuring whether a system is an improvement on something else should try to keep as many money management factors consistent as possible.

Take one of the rawest forms of a random entry/exit test; one that not only randomises when it buys and sells, but also how much to invest per trade (up to say, 50% of total capital).  In one random iteration it might continuously invest 50% x 2 in small-cap miners and make a killing.  In another it might choose TLS and some other struggling stalwart and underperform.

Then add fixed position sizing (eg. 10% per trade) and test again.  You are now exposing your capital to the market in a non-random, non-market-cap-weighted fashion.  My testing showed that this bunches and shifts the distribution of CAGR and Max DD in favourable directions.  Just doing this should help you beat the index.

If you then add some purposeful entry, or exit conditions it is that study that you should compare your results with to see if you are improving consistency and effectiveness.