Agreed. According to the paper: They trained the data, once, with 3-4 months of data from Feb to May. Then they tested the data, once, with ~6 weeks of data from May 6 - June 24.

There was no cross validation involved in assessing the performance of this model. Using one subset for training, and one subset for testing and calling that conclusive is naive.

No interesting conclusions can be taken away from this paper due to flawed methodology and failure to take into account real world variables like bid-ask spread, commissions, how quickly trades can be executed, whether orders will even be filled, etc.