Hi Guys,

The system was picked up as the top performer from an absolute profit perspective in the 1993-2003 period, there was no data-snooping in the system's selection (otherwise the 2003-2013 period would in-sample as jcl says). It is also worth mentioning that I ended up with 5 systems (R2 > 0.95 in the in-sample region) and all had similar OS results nonetheless.

It is also worth mentioning that the unlikeliness of a correlation does not automatically mean it's spurious. There could be a lag 1000 system that is causally correlated with price action. I will be posting an article about this soon, you'll see that having lag 0 or lag X systems doesn't mean that you cannot be OS successful. There are most probably valid correlations with all sorts of lags , only that those with lag 0 (using data up to the last moment) are the most intuitive. There is no proof that a system with a lag beyond the last closed bar cannot be profitable in the OS.

Thanks a lot for reading my blog guys :o)

Best Regards,

Daniel

PS: As I said on the post I also wouldn't trade this system, as it's statistical characteristics are still quite bad. I would have to improve it a lot before even considering it for live trading.