It is commonly believed that low frequency strategies require only low frequency data for backtesting. We will show that using low frequency data can lead to dangerously inflated backtest results even for low frequency strategies. Examples will be drawn from a closed end fund strategy, a long-short stock strategy, and a futures strategy. This presentation was part of the QuantCon 2015 Conference hosted by Quantopian. Visit us at: www.quantopian.com.