Attached is a non-exhaustive list of the elements that can impact a live trading strategy and create differences with a demo account and/or backtests:
- Spread
- Slippage
- Orders rejections due to one of the above reason, but also because of the allowed distance from current price to put pending orders (known as “minimal distance”)
- Different trading hours (ProOrder code launched in a different time zone / custom hours, by the user)
- Coding problem: division by zero error, null or negative periods for indicators, ..
- Lack of responsiveness of IG demo servers (if IG is the broker), although this has improved considerably since last year.
- Make backtests without tick-by-tick option
- “set stop trailing” instruction that give IG the total control of your stoploss, can be moved differently between accounts due to points above
- Limited risk accounts and their rules
- Guaranteed stoploss rules and fees
- Starting a strategy at a different time (1 hour or even 1 minute later): depending on the code of the strategy, the results of some calculations could be different.
- Margin required on the trading account (no demo or backtest tests are made on this subject)
- Overnight and overweekend fees
- Automatic adjustement of stop orders checked or not when launching the ProOrder
- Minimal distance used in backtests for pending orders, not the same as in real trading, due to broker requirement
- Different contract size between backtests and live
Because backtests are only tested on history *with no connection to live market* , you may encounter differences with real live trading environment subject to spread enlargement, slippage, etc. If your stop hasn’t move, there must be information of an error into your orders rejected list you can consult with CTRL+O.
In any case, first step is to compare the backtest orders with the real orders, and why they triggered not at the same time/differently.
.
