Forward testing on a live feed beats any historical test
Posted: Fri Oct 30, 2026 8:43 am
Forward testing on a live feed beats any historical test
No historical dataset captures everything. Microstructure changes. Liquidity providers update their algorithms. Brokers change routing.
A strategy that worked three years ago on a particular type of data may not work now. The only way to find out is to run it live, in small size, and record every detail: signal time, order time, fill time, prices, spreads.
Weeks of forward testing on a live account with tiny size produce a dataset that no vendor can sell. It contains the actual costs, the actual delays, and the actual slippage faced by that strategy at that broker.
Comparison with the backtest highlights the gaps. Often the live fills are a few tenths of a pip worse, and the difference is stable. Stable differences can be modelled. Unstable ones need investigation.
A forward test of a few hundred trades is far more informative than another round of parameter optimisation.
What was the gap between backtest and live results on the last strategy, and where did it come from?
No historical dataset captures everything. Microstructure changes. Liquidity providers update their algorithms. Brokers change routing.
A strategy that worked three years ago on a particular type of data may not work now. The only way to find out is to run it live, in small size, and record every detail: signal time, order time, fill time, prices, spreads.
Weeks of forward testing on a live account with tiny size produce a dataset that no vendor can sell. It contains the actual costs, the actual delays, and the actual slippage faced by that strategy at that broker.
Comparison with the backtest highlights the gaps. Often the live fills are a few tenths of a pip worse, and the difference is stable. Stable differences can be modelled. Unstable ones need investigation.
A forward test of a few hundred trades is far more informative than another round of parameter optimisation.
What was the gap between backtest and live results on the last strategy, and where did it come from?