Topic: Advice needed - Portfolio Expert vs MT5 completely opposite backtest
First time this has happened to me and wanted to check in with others...
Loaded 100,000 bars of M15 data across 5 currency pairs - primary was AUDUSD, with a spread of 2, and a commission of 3.5 per lot per side. ICMarkets has a spread of 0, but use 2 generally.
Started a Validator on previously generated strategies (about 1300 loaded) and had dates set from 2018/Sept/10 to 2022/Sept/16.
Optimisation was 20% OOS, balance line stability.
Normalizer was 20% OOS, net balance.
Multi market across 5 pairs, with 4 out of 5 to pass.
It validated 138 strategies, with a fairly decent curve over the 4 years, $301,201 profit (0.1 lots), stability of 93.3, 16469 trades, 0.63 win loss, 0.14 sharpe etc.
I then exported to MT5, and re-ran the back test over the same period...with lots of 0.01, but it totally failed. Negative growth, lost about $500, over 22500 trades..almost like running a totally different portfolio. I've re-confirmed all settings in MT5 have matched what I normally do.
First time I've ever seen such a monumental difference.
I've reloaded the currency pair data (re-exported and re-imported), re-ran the validator, but it made no difference to the results in MT5.
When I re-run validator on a shorter data horizon, virtually all of the same strategies fail in EAS.
When I've done this in the past, the portfolio has closely matched the MT5 backtest, so this is a first...
Anyway, wanted to see if anyone had any ideas (other than run it on shorter timeframes )