THE ROBUST TEST
Curve fitting can be hard to detect.  

Generally speaking, when technical indicators are used - especially when many indicators are used - there is a possibility that the rules of the system have been “curved” to fit the price data.  

This can be done on purpose – but also, it can be done accidently. 

So I use a test first introduced by Chuck LeBeau in his book Computer Analysis of the Futures Market to test for robustness.  Simply vary the inputs used to configure the indicators and record the change in performance.  

For example, if an EA using a 12-period moving average shows great results, but changing the moving average from a 12 period to an 18 period radically changes the performance, the EA is not robust.  I speak more about the Robust Test in my book Automatic Alpha: How to Build a Winning Forex Trading System.