Comparing two strategies fairly is harder than it looks

Common mistake: A made more than B, therefore A is better. Things that have to match before that sentence means anything — same period, same symbols, same fill assumptions, same starting capital, same treatment of excluded days, same handling of overlapping positions. Change any one of those and you're comparing two different experiments. I've talked myself into switching strategies twice on comparisons that didn't hold up when I made them apples to apples.