I saw an advertisement today for TradeStation. Overall it sounds like a very good platform for trading, but one of the key points of the ad made me laugh. TradeStation offers you the ability to develop a rule based strategy and back test it. At the risk of nasty emails, I'm going to say that I know enough about statistics to know that backtesting doesn't matter. I think there was a Motley Fool strategy a few years ago where you took the bottom performing five stocks of the Dow, dropped the bottom one, and invested in the other four. It was backtested to get superior returns, but eventually, the limits of backtesting were discovered. If you ask me, backtesting is just a way to build false confidence, which makes me wonder why TradeStation would focus on that benefit in their advertising.