They managed to test and train on different periods of time.

    February 28, 2008 to November 28, 2008 is
    chosen as the longest possible training period while
    Dec 1 to Dec 19, 2008 was chosen as the test period

That said, their split exhibits enormous bias:

    Dec 1 to Dec 19, 2008 was chosen as the test period
    because it was characterized by stabilization of DJIA
    values after considerable volatility in previous months
    and the absence of any unusual or significant socio
    cultural events

I don't understand why they would think this is okay.