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That is personal preference (I acknowledge that I wouldn’t invest in such a system) but what im trying to say is that a rational machine would look at these results see that on average you should make money and recognise that if you didn’t make money then that is simply bad luck(given that the test itself isn’t faulty).

But you would if this was the only scheme. Without introducing other possible systems(and this definition should be extended to other investment opportunites), then this system would appear to be a suitable solution so looking at the average is simply a relative measure. Like I said, it is user-preference on what type of portfolio vs. return curve should be considered as a tradeable system. Designers will take into account their own personal circumstances will looking at the effect of possible outcomes by the system such as failure. However, these details are considerations for the trader and not something concerned for the system, if you start considering these details as something for the system then your start to extend your definition of system. These details are what define this relative measure amongst systems so that the designer can make a decision about what kind of system is suitable for them.

I acknowledge what I’m saying isn’t really anything new and common-sense. I’m just trying to point out the grey areas when comes to measurements and how they should be interpreted. The rest is either personal experience or personal preference, both of which are invaluable.