-- you have earned Featured Contributor Badge
Your exceptional post has been selected for our editorial column Staff Picks http://wolfr.am/StaffPicks and Your Profile is now distinguished by a Featured Contributor Badge and is displayed on the Featured Contributor Board. Thank you!
I think the 109 values you call "tests" are usually called the validation set, but this is a matter of nomenclature.
In any case, I am surprised this can work at all. I've always thought market prices are more or less random walks. In fact, I'm skeptical about the very possibility to predict them from a theoretical point of view, based on the following reasoning.
What would happen if such models turned out to be really efficient at predicting the price and if such model was made public? Wouldn't everyone eventually use it, making the prediction self-fulfilling?
In fact, there could be a positive feedback happening. The model would predict prices fluctuations that would be amplified by speculators. In the end the model itself would direct the market and the price would become a loose degree of freedom.