In recent years, Evolutionary Algorithms (EAs) have been remarkably useful to improve the robustness of Artificial Neural Networks (ANNs). This study introduces an experimental analysis using an EAs aimed to evolve ANNs architectures (the FS-EPNet algorithm) to understand how neural networks are evolved with a steady-state algorithm and compare the Singlestep-ahead (SSP) and Multiple-step-ahead (MSP) methods for prediction tasks over two test sets. It was decided to test an inside-set during evolution and an outside-set after the whole evolutionary process has been completed to validate the generalization performance with the same method (SSP or MSP). Thus, the networks may not be correctly evaluated (misleading fitness) if the single SSP is used during evolution (inside-set) and then the MSP at the end of it (outsideset). The results show that the same prediction method should be used in both evaluation sets providing smaller errors on average.