The reason is that the fund of available price history is too limited to comprise an adequate data sample. What's more, some markets have been governed since their inceptions by a single dominant trend, one that may not be representative of the future. Faced with these constraints, Barnes urges the use of simulated data for testing. Computer- generated data offer a far richer spectrum of scenarios. If a trading system holds up when tested across hundreds or even thousands of simulated contracts, real-world performance is apt to be strong.
Barnes offers precious few clues for finding that winning system.
Rather, the focus is on generating the artificial data. Suffice it to say, the procedures are complex. While taken on its own terms, the book still might serve a need, but promising ideas are sabotaged by disjointed and cumbersome phrasing. This is not the book we expect from a pioneer in system trading. Bold statements are not lost in a new book from Financial Times Pitman Publishing.