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Gather round all you backtesting nerds, here's a couple of articles
to make your day.
Basic good articles for those who can read without moving their lips:
http://www.futuresmag.com/library/daytrade97/day9.html
http://www.customtradingsolutions.com/presentations/out_of_sample.pdf
For the academic types:
http://ashleymac.econ.vt.edu/working_papers/e00_06.pdf
For those that like "see the dog run, Jane"
http://www.fool.com/workshop/2000/workshop001219.htm
Okay, now try educating yourself. It's free.
JO
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