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Running the same strategy on demo and live for two weeks to see what execution actually costs

everyone says demo fills are fake and live is different, but I wanted to know by how much for my own style. So I ran the exact same M1 and M5 scalping rules on a demo and a small live account side by side for two weeks, same pair, same entries, same stops, taking each trade on both.

What I compared was entry price, exit price and the spread at the time of entry. On calm entries the difference was tiny. On entries within a minute or two of the open of a session, or near any news, the live fill was usually a bit worse and the spread was wider than the demo showed. Over a lot of trades, that gap is basically the difference between a strategy that works and one that barely scrapes by.

The takeaway for me wasn't that live is rigged, it's that demo is optimistic and I shouldn't trust any backtest or demo result for a scalp style without taking a haircut off it. I now assume each trade costs me an extra fraction of a pip over what the demo showed.

For anyone who wants to repeat the test, the easiest way I found to record it was a simple spreadsheet with one row per trade and columns for the demo fill, the live fill, the spread on each and the time. I wrote the numbers down right after each entry, before looking at the result, so I would not fudge anything. After two weeks I just averaged the difference in fills. It was boring to log but much better than relying on a feeling that live was worse.

A fair question someone asked was whether the difference would shrink on bigger size or smaller size. I only tested at a small size, so I cannot say for sure. I would expect bigger orders to see a bit more slippage on fast entries, not less. If you are planning to scale up, it is worth running the same comparison again at the new size for a week or two, because the haircut I mentioned might not stay the same as you grow.