From a cleared backtest to a position in the book
Most portfolios stop at “backtested”. The interesting half is everything after it: paper on the live order path, then real money at minimum size, then a rollout across accounts, and finally life alongside every other strategy already running.
- strategies to live
- 8
Built here.
- 01
Paper that leaves through the live order path — same routing, same timeouts, same fan-out, with only the fill simulated. A strategy that clears paper has already exercised the machinery capital will use.
- 02
A frozen configuration hash: live refuses to start unless its resolved parameters match the set that was tested, so a hand-edited value weeks later cannot quietly void the evidence.
- 03
A small-capital stage at minimum size, which is the first place slippage, queue position and partial fills stop being modelled and start being measured.
- 04
A comparison of live fills against what the simulator predicted for the same session, so the gap between the two is a number rather than a feeling.
- 05
Multi-client rollout through the same control layer the desk already uses — each account sized against its own capital and routed to its own broker, with no strategy-side change.
- 06
Portfolio-level accounting: margin netted across strategies rather than summed, exposure and drawdown limits enforced on the combined book as well as per strategy.
Failure modes.
- An idea that looked good in simulation and does not survive real queue position — caught at minimum size rather than at full size.
- Parameter drift between what was tested and what is running, which the config hash turns into a refusal to start rather than a silent divergence.
- Two strategies that look independent in isolation and lose on the same days, which only shows up in the combined drawdown.
- Capital that is committed on paper but unavailable in practice once margin is netted across the whole book.
A strategy that works alone is not finished. Capital is shared rather than granted, margin nets rather than sums, and correlation only appears once the book is whole — which is why the last gate is the portfolio, not the backtest.