This is a good general point, but this sort of thing is probably not an issue for the types of indicators he's using, and the simple regression models he's usin

This is a good general point, but this sort of thing is probably not an issue for the types of indicators he's using, and the simple regression models he's using. The model is not sufficiently complex to learn regime patterns, which is the problem you're alluding to. This would be an issue if he was using a neural net, though. I agree with your broader point that this analysis is bad, though. Another criticism is that he's predicting class labels, but not accounting for magnitude. It is possible to be able to predict the direction of the market tomorrow, with say, 60% accuracy, and still not be able to make money. If you can predict up/down with 60% accuracy, and on average when you're right you make 1%, and when you're wrong you lose 10%, you still have a bad strategy.