Let's say I have an investment universe consisting of equities in SP500 at time t, and that the universe changes at each t+1. I.e. at time t you can only invest in an equity that is in the SP500 at that time t.
Now let's say I have a strategy that I backtest using different parameters for the holding period / rebalancing period over the entirety of my data.
Wouldn't the resulting "optimal parameters" be very susceptible to Look-Ahead Bias, since they're defined over and tested over the entire period?