What actually causes the backtest vs live gap?

In our experience the gap is rarely the strategy. It is universe eligibility, fill assumptions and data timing. A backtest that assumes every candidate can be bought ignores concurrent-position capacity and sell queues; matching those live constraints in simulation closed a 25x gap for us. What differences have you measured between your backtests and live runs?
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QuietVol· Aug 2026 ago· edited Aug 2026 ago
The capacity constraint is the one I underestimated too. My sim was effectively sampling from the full candidate distribution each day, live I only ever got the first two or three signals before I was full, and those aren't a random draw, they're biased toward whatever triggers earliest. Did you ever measure whether your fills skewed to one end of the signal ranking?
DataDrivenDee· Aug 2026 ago
Genuinely asking about the sell queue part — how did you model that in sim? I can approximate concurrent positions easily enough, but ordering of exits when several fire at once feels like it needs the actual queue logic, not an assumption.
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