Ernie Chan on the pitfalls of backtesting
Nice overview from a practitioner on potential biases when backtesting. Ernie is the author of the decent algorithmic trading intro called Quantitative Trading, which I recommend for anyone getting their head around this business. He blogs over on blogspot.
[Warning: I may be able to afford a coffee if you happen to buy the book through the link above. Please do not buy through the link above if you don’t believe in that kind of stuff.]