Hi everyone, I have been lurking on these forums for a while. Recently, I developed my own system for trading indeces ( I guess I could apply it to futures as well, I was just going with whatever data I have.) What do you look for when backtesting a system? Are there some common pitfalls to look for before going online and risking real money with it? I have backtested on data from the last 15-20 years, and my system consistently beats the market and has prartically no losing months. The Sharpe ratio computed using 10-day returns is consistently above 1 ( using 5% risk free return). I have also accounted for reasonable slippage ( is 1/10th of a percent slippage reasonable for trading an index such as S&P 500)? Are there any other lessons you have learned, when developing automated strategies, that you wish you knew when you were starting? Thanks in advance, and good luck with your trading.