I have a system that I made 5 years ago, that returns 195% every month using the Cash Index data.
The result is tested under 20 years data of 5min. bar for the S&P Cash. No losing month... 78% of the days are winners. All orders are stop orders and entry signals are processed on the previous bar eliminating magical time alternating fills... Also, a Sharpe of 2.72...
Still I won't trade it.
Why? The volatility of Cash SP vs Real Trades.
Lesson: Never base your trading systems or hypothetical trading results with Cash Index. It will never resemble real results.
If anyone thinks that my claim is irrelevant, then I'll sell you the system for some reasonable cash.