I hear a lot of people talk about needing more than 10yr of data for backtesting, and this is something that is often overlooked. The driving forces behind mark

I hear a lot of people talk about needing more than 10yr of data for backtesting, and this is something that is often overlooked. The driving forces behind market data are unobserved and extremely complex, so you simply can't control for all the variables. If you can control for at least most of them, then you are in a situation where more data is NOT always better. The one elephant that jumps to mind is liquidity. The mechanisms by which liquidity in the markets affect the end results are absolutely key to how your algorithm's interactions with the data will pan out. With that in mind, the methods by which we come by liquidity have dramatically transformed over the years, and market makers from >10 years ago operated in an entirely different way. That's my $0.02, anyhow. Anecdotal evidence: I have first-hard experience implementing algorithms that chugged along just fine with 10 years of data for backtesting.