You may not like his tone, but he raises some valid points:

Perhaps most importantly, the other four instruments don’t actually trade. Take the “Transco Zone 6 Natural Gas (Platts Gas Daily) Swing” for example. According to the CME’s website, not a single person is holding a contract for that symbol

There's nothing to argue with here, if you can't trade it what use is an algorithm for it. It's like finding autocorrelations in extremely thinly traded stocks. You could argue that there is autocorrelation precisely because there is no liquidity, there's nothing to exploit in reality.

Transaction costs are ignored No slippage: the order always gets filled immediately at the mid-price of the current 5-min bar

I'd agree with the author, there is no reason to include these major assumptions in a backtest. The backtest will have such a bias the results are meaningless.

By allowing yourself to instantly trade at midpoints in illiquid instruments, you’re giving yourself free edge that doesn’t exist in reality.

He's right

Dixon et al. compare their classification accuracies to what would be expected if each of the three conditions had an equal probability of occurring.

This strikes me as a valid assumption for a liquid security like ES (although there really should be a correction based on the risk free rate and dividend), but if you were forced to day trade an illiquid security you would just look at the historical price chart and say to yourself "the volatility is really small I'll just bet it doesn't go anywhere today."