Demo fills versus live fills: why the gap is wider than expected

[Shadow Trader]

A strategy that works beautifully on demo and stumbles on live is a classic story. The usual explanation is psychology, but execution plays a larger role than most admit.

Demo servers typically fill at the quoted price with almost no delay and no rejection. They rarely model slippage, partial fills, or last-look behaviour. Live accounts connect to real liquidity, with all its friction.

For strategies with a few pips of expected profit per trade, the friction can consume most of the edge. A demo result of 3.2 pips average per trade can become 1.8 on live after realistic fills, and nothing about the strategy changed.

The sensible way to bridge the gap is to run the strategy live at the smallest possible size for a few weeks, treating the results as a measurement of friction, not as a profit target. The numbers collected there are the real inputs for any scaling decision.

How large was the gap between your demo results and your first live month at minimum size?