I have been trading for a long time, and I have noticed that most EAs perform well in backtesting but poorly in live trading.
I even backtested an EA for the exact same month when it was running on a low-latency VPS. The backtest showed good results, but the actual trading performance was poor.
What could be the reason for such a big difference? Is it due to tick data, spreads, slippage, execution speed, or something else? How can we identify the real cause?
the price movement in the stock market is like particle movement at the quantum level. As soon as you interact with it you change the market state: eg one buy order could lead to a full bear market thanks to overleverage. And you had no way of knowing that.
With backtesting you are essentially studying a frozen market state - model it however you like, but you cannot influence it, hence your model remains incomplete.