Portfolio backtesting

[Elon]

Micheal Harris (PAL developer) suggests doing portfolio backtests on "comparable securities", which I assume means stocks for stock, forex for forex, etc. Has anyone tried to do that on nn-comparable securities? I did and the results are not as robust I suppose due to the different market dynamics (vol, drift, etc)

[TraderS]

IMO a system should work well across several uncorrelated markets to be non-spurious robust. 

BTW I started testing PAL, his software, seriously. If anyone is interested in the results leave a reply.