I recently almost made it to a year of live trading three algos; I had to shut them all down due to work compliance regulations.
Since a lot of people are curious how the Quantopian backtester compares with reality, I thought I'd share the results of live trading vs simulation of the algo which was derived from my March 2015 contest winner.
This account had only $10k in it, and was trading VXX and XIV. The plan was essentially short both in equal parts, and rebalance daily. Pretty classic short gamma-ish trade. You can see from the graph that Quantopian's current default slippage model seems pretty accurate these days. I don't recall it being so good in the past, but perhaps they have made a change; I haven't really been following.
I'll share the algo next. It's pretty simple at heart, but made so much more complicated by the edge cases surrounding short fails and whatnot. The idea really is to just be short $10k of VXX and $10k of XIV, for instance. Everything else is tedious nonsense.