1. Systematic trading doesn't necessarily require an algorithm. For instance this rule might work (over a 5 year horizon, don't try it monthly): "buy very large cap stocks if their P/E goes below 4 and sell if it goes over 10." But you don't need an algo.
2. The market has long bull runs. So you might have an algo that has some long bias. It will seem to perform above chance. You should compare it to just holding the market.
2b. If the market is going through a bull run and your algo has some leverage built in, it will outperform just holding the market.
3. If the market had a massive crash in the data set and your algo has a short bias, then you should check it against just shorting the market.
4. The issue of models, markets and biases mirror the same debate in science theories, data and statistics.