trading costs, liquidity, structural changes in the economy etc. del prado's machine learning in finance book gives some good insight into common backtesting pi

trading costs, liquidity, structural changes in the economy etc. del prado's machine learning in finance book gives some good insight into common backtesting pitfalls/thinking that are present here. the "safe" assumption if you find a systematic strategy that backtests well is that your actual, go-forward sharpe ratio will print 50% of what your backtests suggest.