Allowing for slippage, broker spreads and broker commissions in the new MT5 strategy tester....
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Hello,
All trading system developers and researchers understand that when doing a backtest it is very important to factor in amounts for "slippage", "broker spreads" and "broker commissions", and if a backtest does not allow for these things then the backtest results will be invalid and will not be a good proxy for live trading environments where "slippage" happens very frequently when placing market orders. Also many forex brokers these days are charging clients variable spreads plus a commission as well. Accordingly, we submit the following 3 questions to MetaQuotes company:
(1) Will MT5 strategy tester allow us to factor in an amount for "slippage" in our backtests? That is "slippage per lot"? As we all know, in live trading everyone gets slippage when placing "market" orders, especially in fast moving markets when news happens or when the market does a big breakout on the charts, slippage happens all the time in reality. If our MT5 backtests don't allow for slippage then the backtest results will be meaningless and far from accurate and they will not be realistic of live trading.
(2) Also the backtests should allow for "commissions per lot" too. For example, at FXCM broker their pricing structure charges us a variable spread like 0.3 pips on the EURUSD "plus" a commission per lot too (on top of the spread). Many other forex brokers are now doing the same as FXCM i.e. charging a commission plus spread. Hence, if the MT5 backtests don't allow us to factor in a "commission per lot" (like we could do in the old MetaTrader 3 platform) then the MT5 backtest results will not be accurate or meaningful also.
(3) Also, we need MT5 to have a "history center" like we did have in MetaTrader 4 (MT4) as many of us would like to import our own 1-minute bar historical data into the MT5 platform to do backtests using high quality historical data that goes back 10-years in time, many forex brokers don't offer the full 10-years of 1-minute historical data, instead the data only goes back a few years which means the backtest is also meaningless as the "backtest period" is far too short.
Could MetaQuotes staff please reply and comment to each of the above three issues. I have been backtesting for 13 years now and have used many different backtesting platforms, so I have a good feel for what is needed to do backtesting properly and accurately, so that the backtests are meaningful, accurate, robust, valid and as close as possible to being realistic of live trading. Thank you in advance for your reply. I have been using MT3, MT4 and MT5 for the past 13 years and must say that all of the platforms have been excellent quality. Keep up the great work.
Kind regards,
RJF