Hey Vonasi, i have come to same conclusion. Unless your daily-algos are looking for 1-2 pips, spread is not that important to look at. And obviously a 4 pip spread in a 30.000 market is very different then a 4 pip spread when that same market was 3.000 20 years ago or whatnot.

I would like to add another thought to this. I have looked into my own trading comparing PRT results vs real results and there is a clear difference. I now value the avg $ per trade vs spread alot higher than before. I dont have exact numbers and im very sure this varies some from market to market, but i would say that you have to expect a more negative overall result in your live results vs your backtest/PRT results!

For instance i have several trades (a very small % vs all trades) that have been stopped out in live results, but not backtest (even with tick by tick, because PRT dosnt know the buy/sell price, it guesstimates) + a few trades that have not hit target even tho it hit target in backtest/PRT, again for the same guesstimating issues that PRT dosnt know the exact prices. Altough this only affect a few trades in the overall picture, those few trades could be HUGE difference makers when youre trying to find the big trends. We all know that missing 1-3 of your best trades makes a big difference for trend traders..

Another thing regarding this issue is that its very hard to track individual real results from each algo unless you track each trade, at least for me having done thousands of trades, this is not possible.. Would need to hire someone to constantly keep track and records of each algos live results..

So i would say expect even less of your algos then what you see, make sure your edge is bigger than “just barely profitable” in backtest, because that will break you. A great example are 2 of my old forex algos, where the edge was just 1-2$ per trade. These algos still look decent in backtest even with spread, but the real life results was not profitable and they just bled money from my account..

All of this is of course only my own experience. But i would love to hear if someone is facing similar problems, and if anyone has any sort of solution or numbers to go on.

Edit: This is also very important, in my view, to think about when youre using machine learning to optimize algos! Your “perfect” targets and stop losses and trailing stop losses might be flawed. maybe 1-20% of the trades might not higt targets or might get hit by stop loss, or your entry might be worse than the backtest making the stop loss a bit higher. This is just the spread and the filling of orders. PRT dosnt know when or how you actually get your order filled, it just guesstimates that you get filled, but theres no guarantee until you go into real money.. (unless you use limit orders! making your entries guaranteed! Been very eager to discuss this topic but dosnt seem that many people use these types of orders – if you got experience with this please let me know)