Backtesting with a misleading data set can lead to less than ideal results. This is why it’s crucial to find a good sample for the backtesting period that reflects the current market environment. This can be especially difficult, as the market is in a constant state of change.

Before you decide to backtest a strategy, it can be helpful to determine what exactly you would like to find out. What would make the strategy viable? Conversely, what would falsify your assumptions? If you know these beforehand, it will be more difficult for the results to affect your biases.

Backtesting should also include trading and withdrawal fees, and any other cost that the strategy may incur. It’s also worth noting that backtesting software can also be quite expensive, just as access to high-quality market data is.