Quote Originally Posted by EB View Post
In that case, you might survey a longer term chart and choose a sampling of three to four month windows at various times of the year over several market cycles.
Let me preface my comments by saying that I am a sophmore compared to the others here but I believe that this is one aspect too often overlooked.

Ideally, when backtesting, one should split their data sets into a training set and a test set. The training set is used to calculate and set the parameters of your model and the test set is used to verify. You can split the data set in half or even thirds, where you rotate the training set between the partitions.

Obviously, you want to achieve simlar returns between the training and test sets or your model is biased to one set - hence why you rotate. Finally, the above tests are only applicable when the data sets are stationary as EB eludes above. Good luck.