SQX and MT5 backtests discrepancies (+ leverage)

Hi,

I’ve been experiencing huge backtests discrepancies between EURUSD_M1 (H1) generated strategies and their backtests on MT5 (tried M1 OHLC and real ticks).

Since strategies are build with M1 bars wouldn’t it be better to generate them with ticks set of data ? Even with the slower processing of the tasks.

I soon will use the option to cross-check with another market (generate with EURUSD_M1 and confirm with EURUSD_ticks) to assess if the gap would be that huge.

One other thing is that a cannot find any leverage option ? Using a 2% risk on balance would use the same lot and/or SL distance with a 1:1 or a 1:100 leverage.

Hello,

as for MT5 backtests you can follow tips here https://strategyquant.com/doc/quantdatamanager/how-to-import-data-to-metatrader-5/

You certainly need to create a custom symbol in MT5 that is based on the original market symbol and you can import minute data into it

For the leverage option – we do not have this option in the current version. SQX was designed to build single strategies and for those you need to set money-management correctly to consider possible margin requirements from your broker

Thank you for your help and the link provided, I will apply the procedure. Can I do it the other way around, export ticks data from my broker and import it in SQX ? This way I could have the real spread provided by the broker.

As for the leverage option I think this would be useful to implement because for the same risk in MM the lot used would be totally different if leverage is different. I made a mistake about this point on my original post :

“Using a 2% risk on balance wouldn’t use the same lot and/or SL distance with a 1:1 or a 1:100 leverage.”