You’ve hooked into the appropriate core actions, loaded a template file and added a quick echo to test the beginnings of your feed. You bring up a browser, load the feed, and are satisfied when you see the output you were expecting.
Now, you code out the rest of the feed. Put in a query, loop over the results and mold your output. Sweet.
Refresh the feed in your browser and bam – same test output from before.
You hit Google and start searching. One place tells you to delete your transients, another tells you to define your own Magpie cache settings. All of them were written in 2007.
And then you run into this page, which dutifully informs you that WordPress is not caching your custom feed.
You are. In your browser. Clear the cache.