> Can't you just download a historical set and use that to test whatever algorithms you think you would use?
Be careful - much of the historical data has been pruned to eliminate some data from companies that didn't survive.
I've heard that one of the major quant houses (Shaw?) can often guess what data set you used to test your strategy by looking at the strategy.
Plus, there's a selection or fitting problem. Your strategy may have worked well on average from 1972-1999, but that doesn't mean that it will work today.
And there's a velocity problem. There are pricing errors in old data to exploit. And, if you had today's computers then, you might have been able to find them fast enough because your systems are faster than what folks had then. However, today you're competing with folks who have faster systems than you do.