Why the same strategy fills differently at two brokers

A careful, comparison-based and overfitting-aware evaluation process is important.

The core claim in this brief is directionally plausible: the same algorithmic strategy can produce different fills at different brokers because feed construction, spread handling, execution rules, and symbol specifications differ.

What the sources do support is a narrower methodological point: when evaluating strategy results, traders should test robustness across multiple comparison dimensions and should be cautious about interpreting backtest outputs without controls for overfitting and selection bias.

From Sonar Sciences' comparisons research page, the relevant supported idea is that comparisons matter and should be structured rather than assumed.

From the Backtest Overfitting Audit tool page, the supported takeaway is that backtest results can be misleading when they are influenced by repeated testing, parameter search, or selection effects. This is directly relevant to broker-comparison work: if a trader observes differences between two broker environments, those differences should be isolated and tested rather than attributed casually.

From the Deflated Sharpe Ratio glossary entry, the supported takeaway is that observed performance statistics should be adjusted for multiple testing and non-normal return effects when appropriate. That helps frame how one should evaluate any reported broker-specific performance divergence: apparent differences in P&L or risk-adjusted outcomes may not be statistically meaningful unless evaluated with appropriate corrections.

Broker-comparison claims should be tested empirically and interpreted with statistical caution. Sonar's supplied materials support the importance of structured comparison and overfitting-aware evaluation.

Drafted with AI assistance from cited sources. Reviewed and approved by Sonar Sciences Quant & Research Team.