Details

Live trades since · signal ref vs actual fill vs backtest expectancy

Cumulative P&L — All live weeks

Actual fills · since go-live

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A · Slippage: Actual fill vs signal ref price. Negative = favorable (filled better than signal).

B · Backtest Avg: Historical expectancy per trade for this strategy over 16y backtest.

C · vs Expected: Actual P&L minus backtest expectancy. Converges to 0 over many trades.