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I think because the data you are backtesting doesn't react to the trades you make.

Unless you have order book data, then you can simulate market impact of your trades as well.

Depends on your scenario, but in a general sense, no, the extra degree of confidence from having that extra info is limited.

Just being visible in the OB will cause other people to act differently from if you weren't. This of course has a profound effect on strategies relying on passive orders.

Or course you're right, there is a lot of nuance into that. Btw, would you care to review historical tick crypto data API (https://tardis.dev) I've built? Seen your 'about' hence question.

At first glance looks useful. But data quality is really hard to judge without a deep dive.

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