Cross-post. Original: stellarbytecapital.com/blog/backtest-live-trading-same-code-path
Almost every quant has shipped a strategy that looked brilliant in backtest and quietly bled money live. The instinct is to blame the market, or overfitting, or luck. The real culprit is usually more boring and more fixable: your backtest and your live system are running different code.
When the code differs, the backtest is testing something your live trader will never do. The equity curve is fiction — not because the strategy is bad, but because you never actually tested the strategy you deployed.
How the two paths quietly diverge
Lookahead bias. The backtest can "see" the full bar because the data is already there. Live, that data doesn't exist yet. Using the close of the current bar to decide a trade at its open inflates results and never happens live.
