SPEC-EAV-001 v0.2 · Layer L3 Execution and verification
E-02 Backtest to live fill price divergence
E-02 measures the difference between the price a backtest assumed and the price a live account received for the same signal. The distribution of that difference is examined and tested for directional bias.
What it examines
Paired fills for the same signal, backtest against live.
How it is computed
Distribution of the difference between backtest fill price and live fill price. Test whether the difference is symmetric or biased in one direction.
What a defect means
A one-directional divergence means the backtest assumes execution optimistically. That bias accumulates in proportion to the number of trades.
Judgment states
| Pass | The structure is observed and meets the threshold. |
|---|---|
| Caution | The structure is observed but sits at the boundary of the threshold. Evidence figures are presented alongside. |
| Defect | The structure is not observed, or clearly falls outside the threshold. |
| Not judgeable | The required input data is absent. Marked distinctly from a pass. |
Threshold
Not fixed. Determined from calibration data. See SPEC-EAV-001 §11.
Basis
Jung Chunghwa, FX Market Structure and Systematic Trading (2026), ISBN 979-11-220192-1-6. Research note R-001, Structural problems of EA-based systematic trading (2026-08-20).
Questions this item answers
- Why is my live fill price worse than my backtest fill price?
- How do I compare backtest fills against live fills?
Related items
Related terminology
Revision · SPEC-EAV-001 v0.2 · 2026-08-21