Discussing the article: "Execution Cost Sensitivity Analyzer"

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Backtests often understate spread, commission, and slippage. This MQL5 analyzer loads closing deals and simulates rising execution costs to measure robustness. It computes the breakeven cost per deal, the cushion over an assumed cost, the net profit and profit factor at that cost, and how many winners turn into losers, then summarizes the result with an A+ to F grade and targeted guidance.

A backtest charges the costs you tell it to charge. The spread is often a fixed, optimistic value; commission may be left at zero; and slippage, the difference between the price you wanted and the price you got, is usually absent because the tester fills you at the modeled price. Live trading is not so kind. Spreads widen around news and at the session close. Fast markets fill market orders a few points away from the screen. A broker that looked cheap on a quiet pair can be expensive on the one you actually trade.

The damage is largest where it is hardest to see, on strategies that trade often for small gains. Consider two systems with the same net profit over the same number of deals. One earns its profit from a few large moves; the other scalps many small winners. Add two units of cost to every deal, and the first barely notices, while the second can lose its entire edge. The headline figures are identical, yet one is robust to costs and the other is fragile. Measuring that fragility before you trade is the point of this tool.

Author: Cristian David Castillo Arrieta