Why Does Bot Miss Trades in Backtesting?
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Hello,
I've observed that sometimes trades don't execute in backtests even when all conditions in the rule set are met. For example, the strategy should theoretically enter 100 trades during the backtest period, but only 90 trades are actually generated. Does anyone know what might be causing this discrepancy?
Regards...
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There can be many reasons. Are you completely sure all conditions to be met on the market are happening at the moment of the trade executions? Just one of them not being met means the trade will not be open.
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@l-andorrà Yes, I'm sure that all conditions are met. It occurred to me that MT5 might statistically incorporate real-world execution problems into backtests - like slippage or unfilled orders. For instance, if MT5's data shows that 1% of orders typically fail to execute in live markets, could it be factoring this into backtest simulations?
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Probably. Please remember that back testing is not as wonderfull as many think. It can give you an approximate idea of what can happen on real. Factoring it is definitely what you will have to do if no other explanation is found.
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