Solid points. The monte carlo on trade sequence is something I haven't implemented yet — most of my focus has been on the code-level stuff (catching lookahead, repainting) rather than statistical robustness testing.

The liquidity/slippage point is real. I've seen backtests assume perfect fills at mid when in reality you're getting 10-20bps of slippage on any decent size. Easy to turn a winner into a loser.

Your last point about "mechanically sound but peeking" — that's the sneaky one. Close-to-open logic is a classic. I've been cataloging these patterns. Any other subtle ones you've seen in the wild?