> If you back test over the past 20 years then I'm not sure it helps much as the market of 20 years ago didn't really have any of the major market drives of today's markets

+1, and I'll add a link that argues that data pre-2009 is worthless for a great many (intraday) strategies:

http://www.priceactionlab.com/Blog/2015/07/historical-data-t...

And this is before we even start worrying about in-sample vs. out-of-sample...!