Reading Historical Fiction

A large proportion of the books I own are non-fiction - biographies and histories. I have pretty specific areas of interest, one of them being the classical period, in particular the Roman Republic. One would think that I would also like reading historical fiction, but after trying and failing to read Margaret George's Memoirs of Cleopatra I have to admit that I don't. The writing wasn't that bad, but when you know about every single event in the narrative already, it deprives the story of most of its interest. It really doesn't allow much suspense when you're reading a book and thinking to yourself "And then this will happen" every three pages and be right about it. In the future I'm going to restrict my historical fiction reading to a) periods I don't know much about and b) where famous figures are not the main characters.