Neural net & walk forward testing.

[Kozo Morimoto <K.Morimoto@xxxxxxxxx>]

I am required to develop a neural net trading system and wanted to know if
I train a net with 10 year bond futures data (Australian), is it a valid
test if I test that net on 3 year bond futures data for the same dates?

eg
say I train the net using the 10 year bond futures data between 1990 ~
1995.  Then if I use that trained net on 3 year bond futures data for the
same dates 1990 ~ 1995, would it be a proper test for the net?  The
markets will be highly correlated, but the data points would not be
exactly the same.  Its just that for me to train the net on 1 market (10
year bond futures), I just don't have enough of test data.  I either have
a large set of training data and no test data, or small training data and
large enough test data and thought that I could over come this by training
in 1 market and testing it in another, similar market, but not the exact
same market.

Thanks.