Compare live trading performance with backtest P&L and drawdown

Create an apples-to-apples comparison

Rerun the backtest over the exact live dates using the same code and inputs. Normalize account currency, contract multiplier, quantity, deposits, withdrawals, and realized versus unrealized P&L. Use the same drawdown definition, such as closed-equity or mark-to-market peak-to-trough, because two correct reports can disagree when their definitions differ.

Reconcile the trades before the metrics

For each expected signal, record whether an order was submitted, accepted, filled, partially filled, rejected, or missed. Compare expected and actual timestamps, prices, quantity, commission, spread, slippage, and exit reason. This explains whether the gap came from strategy logic, live data, alert or broker behavior, or the backtest fill model.

• Match signal identifiers and strategy versions.
• Separate missing trades from worse fills.
• Record fees and financing consistently.

Investigate divergence without arbitrary thresholds

There is no universal percentage at which live and backtest results become unacceptable. Compare the observed gap with the strategy's expected trade variability and the documented execution model. Pause and investigate unexplained missing signals, order-state errors, risk-limit breaches, or a persistent cost gap. A journal preserves live evidence; a backtest report preserves the historical baseline.