Matching trade logs to backtest signals exposes hidden differences
Posted: Sat Oct 31, 2026 6:41 am
After running a strategy live for a few weeks, comparing the actual trades with what the backtest would have produced for the same period is a revealing exercise.
Differences appear in entry prices, exit timing, skipped trades, and trades the live system took that the test did not. Each discrepancy has a cause, whether slippage, spread, data feed difference, or a bug.
The comparison quantifies the gap between theory and practice. If live results lag the test by 0.5 pips per trade, that number can be built into future tests and used to decide if the strategy is still worth running.
It also catches logic errors. A signal in the backtest that never fired live suggests a difference in code or data. A live trade the test missed suggests the same.
Keeping records detailed enough for this comparison takes discipline, but it provides the most honest feedback available.
Has a live versus backtest reconciliation ever been done, and what was the biggest source of difference?
Differences appear in entry prices, exit timing, skipped trades, and trades the live system took that the test did not. Each discrepancy has a cause, whether slippage, spread, data feed difference, or a bug.
The comparison quantifies the gap between theory and practice. If live results lag the test by 0.5 pips per trade, that number can be built into future tests and used to decide if the strategy is still worth running.
It also catches logic errors. A signal in the backtest that never fired live suggests a difference in code or data. A live trade the test missed suggests the same.
Keeping records detailed enough for this comparison takes discipline, but it provides the most honest feedback available.
Has a live versus backtest reconciliation ever been done, and what was the biggest source of difference?