A quick question in relation to testing a system

I have a couple of systems with 6 or 7 rules that I am testing over a 4 year period from 2008, 09, 10 and 11.

After the test I see what the result is in dollar value.

Then I go through and individually remove a filter and see if the $$$ profit has increased. If it has I keep that filter out of the system. Basically going through each filter and is the profit goes up keeping it out.

If a filter is removed I then start at the top of the rules and re-test all over again until I have seek the best possible $$$$ profit over 4 years.

Once I have the results I then check to see if there is a profit each calendar year. If there is ups and downs each year, the system goes. If each year shows a profit I keep.

The last test is then to see if the results fair up for the period 2012. Come Dec 12 and I have another further 12 months results I will re-test all the successful systems to date.

Does this logic sound sound or am I going around in bends and following the crowd to the poorhouse.