Every backtest has to answer a boring question: when the strategy says "buy," what price does it actually get? Most backtesting frameworks answer this question badly by default, and the badness is almost always in the strategy's favor.
Here are the four assumptions that do the most damage, roughly in order of how often they show up.
Mid-price fills
If your backtest fills orders at the midpoint of the bid-ask spread, you are assuming you trade for free. You don't. A market order pays at least half the spread to cross it; a marketable limit order pays something close to that too, once you're honest about how often it actually gets hit versus sitting unfilled while the market moves away. Mid-price fills are the single most common way a backtest manufactures edge that doesn't exist, because the effect compounds with trade frequency — a strategy that trades often looks great on mid-price fills and mediocre-to-negative once it pays the spread on every round trip.
Zero slippage
