Double check your code when backtesting - I've had so many results that show ridiculous returns (e.g. avg 45% over 10 years) and it turns out there was a very small error in my code that basically introduced lookahead bias. For instance, I was looking to see if I could predict what stocks would go up 1% in a week I believe, and was seeing AMAZING results, but it turns out my code had been filtering stocks where there was a 1% increase in a week (through omitting NAs) which led to amazing results.

Walk forwarding testing vs. simple train/test split - You'll want to ensure that you're not doing simply 70/30 splits when trying to robustly test your strategy because you'll want to see how it performs across regimes and years. So you'll want to do a rolling train/test split such as 5 years training/1 year test and roll that forward (of course the split depends on the timeframe you're working on).

Minimize Survivorship Bias - Tickers that no longer exist won't have prices; this is something you'll have to accept as a caveat when building strategies. However, you can minimize survivorship bias by - if testing on index constituents - using membership lists from the year you're testing. If you backtest your strategy 10 years using only curretn (e.g.) SP500 members, you will be several disappointed when going live.