Your Backtest Looked Great. Now It’s Time To Go Live.
A rule set that returned 60 percent on historical data and loses money in its first month live is not necessarily a bad strategy. More often it is a strategy that was tested against a version of the market that never existed. Almost every gap between backtest and live performance traces back to one of six things, and five of them are data problems rather than trading problems. Here is how to find which one…