That's a great question, I've been working up a more detailed analysis of implementation shortfall (and thinking about ways to make this automated) - but your q

That's a great question, I've been working up a more detailed analysis of implementation shortfall (and thinking about ways to make this automated) - but your question prompted me to post a quick comparison here that you can look at for some current results: https://www.quantopian.com/posts/live-results-vs-backtest-results-at-a-glance https://www.quantopian.com/posts/live-results-vs-backtest-re... Full disclosure, I work for Quantopian and I wrote this strategy.