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Running an Algorithm Live

Has anyone experienced drastically different results when running their aglorithms with real money?

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Hey Matt, there are a few common reasons why you might see differences between backtesting and live trading:

  1. Spread - For US equities we only have trade data (vs quote for everything else) so if the spread of the stocks are wide this can mean different fill positions.
  2. Slippage - Depending on the speed of your algorithm the time it takes for the brokerage to place the trade might be significant and the market might have moved by the time its filled, resulting in different prices.
  3. Unmodelled Fees - We're pretty good about modelling fees now; but sometimes the brokerages attach extra fees like data and interest. These are not included in your backtest model.
Additionally there are more core model issues; e.g. if you assume BTC will continue sky rocketing like it has done for the last 5 years - but recently bitcoin has plummeted. These fundamental changes in market dynamics can cause your algorithm to not perform like it shows in backtests. Ultimately you should go trade by trade - analyse why the trade was placed and how it filled. In the process you'll learn more about the limitations of your algorithm and be able to improve it further.
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Update Backtest





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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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