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The comments below are my interpretation of Howard Bandy's posts to date on this thread.

If you disagree with my conclusions then please let me know so that I can establish whether I am running with the pack or running in the opposite direction and consequently about to get trampled!

For simplicity purposes I will relate to Australian stocks only.

a)

- 20 FPO's from the Materials Sector for the years 1998 & 1999.

b)

- the same 20 FPO's from the Materials Sector for the years 2000 & 2001.

          NB 1) The period for the two samples does not have to be the  same length and 2) the choice leaves room to utilise additional in-sample & out-of-sample data sets before going live.

c) "

- Optimise the parameters (all) that will result in the highest objective

      function value - now I can see why you chose Amibroker!!

      NB This would not be referred to as curve fitting unless curve fitting was incorporated into your objective function.

d)

- If you are now confident with your model (system) then go live?

e)

- now I have a problem! If the model is not achieving the same results as

before and I have been using, as my data set, all the shares in the Materials

Sector then where do I find my "out-of-sample data set" unless I stop trading

this model for some time? Dynamic optimisation must use an in-sample data set.

That's me done for now and I look forward to any feedback.