My thinking is that WFO is not 100% reliable, though by now it might be one of the best tools we have. If you test it in a different period of time than the one you are testing, you probably will find quiet different results. So, it would be interesting to test the strategy in periods when the market has movement up, down, lateral or flat, and see how the system behaves.

Alternatively, if you test it only in the immediate past, say last few years or so, then if your system suffers draw down higher than your WFO results it might be the time to considere in abandoning it. Also you can aply one formula jcl gave. I am pasting his communication:

"When you begin trading an automated system, you normally start in a drawdown. But how can you determine if the drawdown is normal, or if something is wrong and you should pull the plug?

The simplest method is comparing the drawdown with the recommended capital of the simulation. A more precise estimate is this:

E >= C + P*t/y - D*sqrt((t+l)/y)

E = your equity
C = initial capital (= Required Capital)
P = test profit
t = trade time
y = test period
D = test max drawdown
l = length of the drawdown

Example: the backtest shows $8,000 profit after 5 years with $2000 drawdown of 1 year length, and $1500 required capital. You invest it and are down to $1000 after 6 months.

E = 1500 + 8000*0.5/5 - 2000*sqrt(1.5/5) = 1204.

With $1000 you're below the minimum profit, meaning that you should pull out.

Keep in mind that this is also just an estimate and does not take into account that the max drawdown can happen anytime, even right at the beginning. So there may be reasons to stop the system earlier, or later."

All this doesn't answer directly to your question, but it may help to keep thinking about it.