Backtesting has a significant place as part of a retail traders arsenal. However, as the adage goes: Past performance is not indicative of future results. It is very important to retain your sharpness with this ever changing market. This sharpness (or edge as some choose to call it) can only be retained and evolved with forward testing. This in turn allows you to tweak/alter your algo for backtesting. Without this, you are backtesting nothing.
Most people who I know that backtest are not profitable traders. They spend their lives backtesting. Those that are profitable and actually trade, usually test it out with small size and work from there. No backtesting required or needed. The market is the test.
Dustin, it seems you have been around a while and been pretty consistent all along. What did you think changed in 2010 to break the streak?
I can't say for sure, but I think that was the peak of hft which really dulled down moves. It seemed like nothing would ever follow through...the only moves were gaps. Intraday moves are coming back for now. Or, maybe I just sucked as a trader that year.
Interviews are fine but I am still looking for an HFT book that says something like this : - "See this profitable trading system here? Well it's no longer profitable due to HFT activity and here is the proof". I mean could anybody name just one? One thing is for sure though, unsuccessful traders can know blame HFT for their own failure. Anyway, here are 2 other books on the same subject: The speed traders : an insider's look at the new high-frequency phenomenon that is transforming the investing world, by Edgar Perez. Dark Pools: The Rise of the Machine Traders and the Rigging of the U.S. Stock Market, by Scott Patterson