Just noticed that in MT5, the backtest history quality was very low ... its likely thats the cause.  Trying to fix that, and then I'll update this post again.

A couple of thoughts...

1. Are you using your broker's data in EAS?  If not, then the cause could be due to different data.  Small differences over 22500 trades can add up.

2. 22500 trades is a lot and way more than you need for accurate analysis.  On M15 the P/L value of each trade is small and, so, spread can make a difference.  22500 trades where the spread differs between EAS and MT5 could easily account for $500.  I would suggest repeating your test on a higher timeframe (e.g. H1) to see if the problem persists.  And more than 100 trades is overkill -- you can't "train" algebra by feeding it more historical data.  More historical data only serves to skew optimal settings toward historical data and away from the most recent data.

Thanks Sleytus.  Yes I'm using my broker data - same process as I've always done.  Extracted from MT5, loaded into EAS.  Checked the spread (2) and changed the commission values.

$500 yes for sure, but, not $300,000   Also, bear in mind that this portfolio is made up from 130 strategies, so expecting a lot of trades in total; each underlying strategy only produces on average 500 trades over the 4 year period.

The two equity curves are attached below.  And yes, totally agree with you re your last comment about length of backtest.

I've previously used 12 months of data in both EAS and MT5, and it works perfectly - aligns mostly and the trades are pretty similar.  This though, is completely different - like I'm using a different pair altogether haha.

Yes -- I agree -- the screenshot looks odd...

I have seen strange things with Strategy Tester -- both MT4 and MT5 -- similar to this but not necessarily associated with EAS.  For example, after running many different simulations one day on different pairs I'll revisit them the next day and get completely different results -- as you say, it looks like a different pair.

Strategy Tester caches a lot of settings under <DataFolder>\Tester.  What I've done in the past is clean things up by:
1. Deleting the 'Tester' folder.
2. Exiting and then relaunching Strategy Tester.
      or
Test the portfolio EA on a virgin installation of MT5 from a different broker -- it's okay that the data is different.

Hi - no its not the same...approx 16400 in EAS, and approx 22400 in MT5.

Okay -- then I'm stumped, as well...

But you did say that data horizons of less than 9 months always seemed to work -- what about in this case?  What if you recalculated your current portfolio EA with a data horizon of 3 months and tested that on MT5?  Actually, if you are trading M15 then you could shorten that to 1 month.

Actually I did that try that too. I took the 138 Portfolio and reran it over the last 9 months - pretty much failed entirely in EAS - I was validating it only not optimising.

So I thought it might also be something to do with being above 100 strategies in the portfolio - because that appears to not work anyway, and I've had to change line 56:
from...
int indHandlers[100][12][2];
to...
int indHandlers[138][12][2];

for it to run in MT5.

So, I just added some filters in EAS to get the number less than 100 strategies (got to 96) and re-ran it in MT5.
Still no joy.  Curve is entirely different.  This was on a data horizon from 3/Jan/22 to 19/Sept/22.  The only place the two platforms agreed with was the number of bars

I tried testing it -- got an 'array out of range' error.

2022.09.19 01:23:20.333    Core 1    2022.07.17 00:00:00   array out of range in 'Portfolio Expert AUDUSD#a M15 138 4 years.mq5' (1133,16)

This must be due to your editing.  Have you tried testing an unedited version of your portfolio EA?

Yes that error shows up on the un-edited version.  Once you change the size of the array it should work as you found.

So my spread with ICMarkets currently is on average 2 points. 

Maybe whats happened is that ICMarkets has recently brought in Zero spread...but back further, spreads existed...that might explain it.  That could be why the MT5 data, back in time, doesn't have a spread of zero (it might have 10-40 points) and EAS, because I over-rode the data setting with 2 points, based everything on that...

Hmmm.  Interesting...

That would/could also explain why more recent timeframe backtests work (3m, 9m, 12m) - because both platforms use the same spreads to generate/optimise/validate (i.e. 9 months in MT5 and in EAS match, because the broker data using the backtest matches what EAS used to build it).  Does that make sense?