Now that odd-lot trading is being reported "on the tape" by the Securities Information Processors (SIPs), it appears that some people with low commissions are actively testing out proprietary strategies using odd-lots. The advantage of odd-lot testing over simulator or paper trading is that "impact" is accounted for with minimal capital requirements. Of course, if commissions make it prohibitive for you to test this way, then, as they say in Brooklyn: fuggedaboudit.