Why Your Profitable Backtest Will Probably Fail Live (And How to Not Lose Money Finding Out)
Why Your Profitable Backtest Will Probably Fail Live (And How to Not Lose Money Finding Out) TL;DR Building a profitable algo trading strategy isn’t a weekend project—it’s a months-to-years commitment where the real learning happens in what doesn’t work. Recent Reddit discussions reveal that traders typically spend 500-2000 hours before going live, and even then, expect your live Sharpe ratio to drop by 50% compared to backtests. The main culprits? Slippage, fill behavior, look-ahead bias, and the dangerous illusion that one month of paper trading proves anything. If you’ve got a strategy showing 10x returns in 30 days, you’ve either discovered the holy grail or—far more likely—you’re about to learn an expensive lesson about overfitting. ...