Bias in Testing

["Mel" <melsmail@xxxxxxxxxxx>]

Testing on back adjusted data (going back 18  years) it is not too hard to
come up with systems that appear to do well particularly in a long term
rising scenario. Question is how can I have faith in results where the early
back adjusted prices are significantly higher with relation to the real
prices at the time. Obviously any optimization of any system will have
significantly different weighting with relation to the real prices at the
time. How can this weighting be equalized - would detrending of the back
adjusted data reduce/eliminate any bias or should one incorporate a data2
(real contract) price in the system testing? My goal is to reduce the number
optimization inputs to a minimum so that as a robust system I can
trust the results.  Any thoughts?.


Mel Fox