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Interesting. "Mean" is overly effected by outliers, and things like sharpe or standard deviation assume normal, symmetrical distributions. How many times have you heard about cutting your losses and letting your losers run. Well that's the opposite of a symmetrical distribution so it would make sense that something like 'tail ratio' is a good predictor. Of course the fact that “user_backtest_days” ranks so highly (I assume as a negative predictor) probably means that most systems are overfit, or in other words 'bad' systems. I doubt you would get the same results if your universe of designed systems were better.
Sorry doesn't answer your question.
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