Einsteins theory of General Relativity is one of the pillars of modern physics. For decades, the theory has been mainly tested in the weak field regime with experiments in the Solar System and observations of binary pulsars. Thanks to a new generation of observational facilities, the past 5 years have seen remarkable changes in this field and there are now numerous efforts for testing General Relativity in the strong field regime with black holes and neutron stars using different techniques. Here I will review the work of my group at Fudan University devoted to test General Relativity with black hole X-ray data.