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Andris wrote a good description of a method to defeat "hard coded" dates
that may be present in a black box system. This was the example I used in my
posting of a method that unscrupulous system developers could use to fake
results.
Unfortunately, this is not the only method they could use. Simply
overoptimizing a large set of inputs could also lead to great results on
past data. Taking the same data set and changing the dates would not alter
the "performance" of such a system. Once again, the only way to truly see if
such a black box works is to trade it "in the future" on real data that the
developer could not have used for optimization. Few traders would have the
patience to do this long enough to achieve a statistically significant
result.
Blaine Mathieu
Turning Point Trading Inc.
Alberta, Canada
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