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I fully agree (missed that step). My strategy development is typically done with "in-sample" data and then validated against "out-of-sample" data. Stockworm has a cool feature for this. All stocks in the universe are randomly assigned to set A or set B. I develop using set A and then test...

You may want to try some online tools. Stockworm.com comes pretty close to "drag and drop" (more select and click) and it has both technical and fundamental rules. Excellent backtester. It doesn't do intraday though if that's what you're looking for. Good luck.

I'm pretty much a pure mechanical investor and been doing it for about 10 years now. I use the approach you're talking about. Develop a plan, backtest it, then work the plan. You seem to be asking "what does it mean to backtest?" In it's ideal form backtesting is developing a set of rules...

I've been doing (almost) purely mechanical investing using fundamentals for the past 10 years. A very straightforward strategy that I've adapted several ways is to simply buy the 10 most undervalued stocks at any given time. Sell anything you wouldn't buy. I like to use the EBO valuation...