Back testing is a real bitch. I've been building my own app for back testing recently, my specific interest being how published insider buys (SEC Form 4 transactions) affect the prices of stocks in the short near and long term. You can get dividend data and stock splits easily enough from some public feeds. But where do you get a database of ticker changes, bankruptcy events, and spin-offs, especially on the OTC markets? You can't unless you're willing to shell out a lot of money. Back testing properly is probably out of the cost range of the individual investor.

Some examples:

* Lehhman's ticker changes on the way down

* GM going bankrupt and then coming back from the dead!

* Skye International used to trade under SKYY (at 0.35c/share), but now SKYY tracks a cloud SaaS ETF 20.60/share). Think you got a big win using that strategy that including buying SKYY? Think again!