Your Backtest Left Out the Two Costs That Kill It
The backtest showed 240% a year. Live, the same bot lost money for four months before I shut it off. Nothing in the code had changed. The market hadn't turned. The strategy was the same one that looked flawless on a chart.
The gap was two numbers I'd rounded down to zero: slippage and fees.
Here's what that actually means. A backtest fills your order at the exact price you asked for, instantly, every time. Live markets don't work like that. Slippage is the difference between the price you expected and the price you actually got, and it exists because the order book only has so much liquidity sitting at any given level. On major crypto pairs it averages somewhere between 0.05% and 0.30% per trade. During a news spike it can blow past 1%. Fees stack on top — a taker fill on most exchanges runs around 0.10% unless...
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