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I have 10 years of backtested simulated performance of some trading strategy (using historical prices), and N months of actual trading performance. What statistical test can I do find out if I'm on target with the backtesting numbers? (both, in terms of expected annual returns and expected annual Sharpe ratio)

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Cross posting your question that fast is generally not considered good taste. Please wait at least a couple of days before reposting on another site. – Karol Piczak Jul 1 '11 at 21:07
Got it. Thanks. – Nestor Jul 1 '11 at 23:42

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see http://stats.stackexchange.com/questions/12521/comparing-backtesting-returns-with-real-trading-returns

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I wish @shabbychef would cross-post his answer here. – chrisaycock♦ Jul 3 '11 at 13:08

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