Can AI Make Money in Crypto? Measuring the Gap from Backtests to Real Markets

Xingtong Yu, Jiarun Zhou, Guanlin Ding, Wenkang Wei, Jiarui Liu +10

AI-based trading methods have rapidly evolved from machine learning and reinforcement learning to large language models (LLMs) and trading agents, yet their performance is still predominantly assessed through historical backtesting. Such evaluations provide limited evidence of whether a method can generalize to unseen future markets or whether its backtested performance can be sustained in realistic trading frictions (e.g., latency, slippage, liquidity constraints, and market impact). We present a unified benchmark that evaluates representative machine learning, reinforcement learning, LLM-based, and agent-based trading methods in cryptocurrency markets through three progressively more realistic stages: historical backtesting, prospective exchange-based paper trading, and real-money live trading. These stages jointly increase temporal realism by moving from historical to unseen future markets, and execution realism by moving from offline simulation toward live trading. This protocol enables us to quantify the backtest-to-realization gap, identify when performance begins to deteriorate, and compare how this gap differs across major classes of AI trading methods. We further provide…