Where Backtests and Live Trading Part Ways: Six Defects from One Intraday System

By Alex Vidovich, Zivana Zerjal

Rating

1554
Battle Count: 52

Relevance

9/10
Highly relevant for practitioners building or maintaining algorithmic trading systems. It highlights critical, often overlooked implementation risks (data feeds, timezone handling, configuration wiring) that cause backtest-live divergence, which is a fundamental challenge in quantitative trading.

Implementation Complexity

6/10
The concepts are straightforward (e.g., pinning API parameters, using unadjusted prices), but implementing the robust testing infrastructure (request-recording tests, parity harnesses, config audits) requires significant engineering effort and discipline.

Reproducibility

1/5
The paper is a working paper based on a private research log. Figures are rounded or withheld to protect the live system. No public code repository is provided. The specific system architecture and data are proprietary.

Abstract

Backtests of intraday strategies can drift away from what the live system actually does; in our case, the drift never showed in summary statistics. We report six defects found while running one intraday US equity system live and comparing its live days with their backtest replay. Three came from data: a default feed that carried a small fraction of real opening volume, historical prices adjusted for dividends that live orders never see, and data the live system downloaded but the backtest never did. Two came from code: a sizing step that exceeded a limit the live account enforces, and UTC timestamps read as New York time. One came from configuration: settings that were switched on but never reached the code that places orders. For each we give the symptom, the size of the error, the cause and the test or control that now guards against it. All six sat where two paths that should agree had drifted apart. We close with a ten-point checklist. We make no claim about whether the system is profitable.

Links

arXiv:2610.21846 · Paper rankings

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