[jiofih]

That’s the point - the choice of a normal distribution is misleading. It doesn’t model market behaviour on any time scale.

Backtesting is more likely to be meaningful. Am I missing something here?

[whoisburbansky]

The question isn’t backtesting vs no backtesting. The question is do you use the arithmetic mean of daily returns as your metric or use the final return over the entire period. The arithmetic mean hides the fact that large downswings hurt your net return more than they would otherwise seem to, and is therefore misleading, making the strategy looking better than it actually is.