Quite often system vendors sell their systems, tested on SP500 index or any other index. It must be understood that indices are not traded, but they are calculated mathematically and because of this there are some important differences from their traded counterparts, e.g. futures or ETFs. That's why, if you are interested in a system with good performance, but with a test on the index, then feel free to divide the result in half or even more, since you won't get such a result on a traded instrument.
Today is a very illustrative example of how a theoretical instrument and a real one differ.. Верхний schedule это индекс на SP500, and the bottom — stock-tradedETF на SP500. Let's admit, the system sells on a breakdown downward and closes the position after five bars. By index, in this case, a significant profit will be obtained. And on a real instrument, the system will sell at the opening of the first bar, at the point, which will be the minimum and close the position with a loss. In such a difference it turns out.
Output: systems for sale should be tested on the index — the test will be much better and will make a greater impression on the buyer. :)
