This idea makes sense as long as you know for certain that the very good segment is not due to market luck or curve fitting. You need to validate the rules from any segment on out-of-sample data before deciding they are wonderful. If it were the case that the good segment was due to market luck or curve fit, you would expect it to perform poorly in succeeding segments. It could be that the extra rules in the next, "poor" segment are doing fine, and the curve fitted rules in the curve fitted segment are dragging down results. Only some kind of out-of-sample validity testing can help you keep the good rules.
[Edited by Mel on 2/29/2020 8:17 AM]