For my own benefit and anyone backtesting I thought it would be helpful for people to share their mistakes while backtesting. A few things I can think of:
1. Not including slippage
2. Not including transaction costs
3. Including code or indicators that were reading into the future
4. Not taking into account interest costs
5. Or maybe like me you forgot to close your yearly positions at the end of the backtest not realising the system was heavily in debt. (i wasn't silly enough to live trade it)
I have been using TradeSim to backtest for a while now. It doesnít matter how you backtest, what mistakes do you know of? Or what things should you look out for?