Without one, a backtest fills gaps by forward-filling prices and produces trades on Christmas Day, or computes a 20-day window that silently spans 28 calendar days in December. Neither is fatal alone; together they shift every signal by a day or two.
Half days matter more than they sound. A 13:00 close on the day after Thanksgiving changes intraday volume profiles, makes a VWAP calculation wrong, and breaks any rule that references a fixed clock time near the close.
Calendars change historically: exchanges add sessions, change hours, and close for events. Use a maintained calendar library rather than hard-coding holidays, and be aware that global multi-asset backtests need several calendars reconciled onto one timeline.
Related: timestamp-alignment, resampling, data-quality-check, ohlcv-bar