> If you back test over the past 5 years then you are only testing your model against a huge bull market. If your model is long as often as it is short (either

> If you back test over the past 5 years then you are only testing your model against a huge bull market. If your model is long as often as it is short (either cross-sectionally or in a time series sense) then this is less likely to be a problem. A far bigger source of error for inexperienced researchers is incorrectly accounting (or not accounting at all) for trading costs, financing costs, roll costs, liquidity constraints, data delays, market impact etc.