IDEAS home Printed from https://ideas.repec.org/p/arx/papers/2610.21846.html

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

Author

Listed:
  • Alex Vidovich
  • Zivana Zerjal

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.

Suggested Citation

  • Alex Vidovich & Zivana Zerjal, 2026. "Where Backtests and Live Trading Part Ways: Six Defects from One Intraday System," Papers 2610.21846, arXiv.org.
    • Handle: RePEc:arx:papers:2610.21846
    as

    Download full text from publisher

    File URL: https://arxiv.org/pdf/2610.21846
    File Function: Latest version
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:2610.21846. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: https://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.