No Nonsense Trader

💡 The Ultimate Retesting Guide for StrategyQuant Users

Written by

Dave

in

,

Stress Testing with Multi-Market, Multi-Timeframe, and Slippage Simulations

🗺️ Part 1: Multi-Market Retesting

Retesting your strategy across multiple markets is essential for determining robustness and adaptability. A strategy that only works on one market may be overfitted. But if it performs well across multiple markets, it may be capturing a real edge.

📌 Why Multi-Market Retesting?

  • Detect Overfitting
  • Measure Adaptability
  • Expand Usability Across Brokers and Assets
  • Boost Confidence in Real Money Trading

🔢 Suggested Profit Factor Thresholds

Performance RatingProfit Factor
Excellent> 1.7
Good> 1.4
Weak< 1.4

📊 Exhaustive List of Markets to Retest Strategies On

Forex Majors

  • EUR/USD
  • USD/JPY
  • GBP/USD
  • USD/CHF
  • AUD/USD
  • USD/CAD
  • NZD/USD

Forex Crosses

  • EUR/GBP
  • EUR/JPY
  • GBP/JPY
  • EUR/CHF
  • AUD/JPY
  • CAD/JPY
  • NZD/JPY
  • EUR/AUD
  • GBP/AUD

Forex Exotics

  • USD/TRY
  • USD/ZAR
  • USD/MXN
  • USD/HKD
  • EUR/SEK
  • USD/SEK
  • USD/SGD
  • USD/PLN
  • EUR/HUF
  • EUR/PLN

Stock Index CFDs

  • US30 (Dow Jones)
  • SPX500 (S&P 500)
  • NAS100 (NASDAQ)
  • GER30 (DAX)
  • FRA40 (CAC 40)
  • UK100 (FTSE 100)
  • ITA40 (Italy 40)
  • ESP35 (Spain 35)
  • JP225 (Nikkei 225)
  • HK50 (Hang Seng)
  • AUS200 (ASX 200)

Commodities

  • XAU/USD (Gold)
  • XAG/USD (Silver)
  • WTI Crude Oil
  • Brent Crude Oil
  • Natural Gas (NGAS)
  • Copper
  • Corn
  • Wheat
  • Coffee
  • Soybeans

Crypto CFDs (if supported)

  • BTC/USD
  • ETH/USD
  • XRP/USD
  • LTC/USD
  • BCH/USD

📉 Filter Example in StrategyQuant:

Retest on NAS100 profit factor > 1.4
Retest on EUR/JPY profit factor > 1.5
Retest on Gold profit factor > 1.3

⏱️ Part 2: Multi-Timeframe Retesting

A robust strategy should maintain consistency across nearby timeframes. Building on H1? See how it performs on M30 and H4.

📌 Timeframe Test Ladder

Base TimeframeLower TFHigher TF
M1–M5
M5M1M15
M15M5M30
M30M15H1
H1M30H4
H4H1D1
D1H4W1
W1D1MN1

🔢 Suggested Profit Factor Thresholds

Shift TypeProfit Factor
1 Step Up/Down> 1.5
2 Steps Up/Down> 1.3
Same TimeframeBenchmark

📉 Filter Example in StrategyQuant:

Retest on H4 profit factor > 1.5
Retest on M30 profit factor > 1.4

⚙️ Part 3: Slippage Stress Testing

Real-world trading introduces slippage. If your strategy can’t handle execution delays, it might fail live. Slippage testing simulates worst-case scenarios.

📘 What Is Slippage?

Slippage is the difference between the expected price of a trade and the actual price. High volatility and low liquidity can increase slippage.

🔧 Normal vs. High Slippage Ranges (in pips/points)

SymbolNormal SlippageHigh Slippage
EUR/USD0.5 – 1 pip2 – 3 pips
GBP/USD1 – 1.5 pips3 – 5 pips
USD/JPY0.5 – 1 pip2 – 3 pips
AUD/USD0.5 – 1 pip2 – 3 pips
NAS1003 – 6 points10 – 15 points
SPX5001 – 2 points4 – 6 points
US305 – 8 points15 – 25 points
XAU/USD5 – 8 pips10 – 20 pips
BTC/USD$5 – $10$30 – $50
USD/TRY3 – 5 pips8 – 15 pips
USD/ZAR5 – 10 pips12 – 20 pips

Note: Exotic pairs and volatile assets have naturally higher slippage.

🔢 Suggested Profit Factor Thresholds

Slippage TypeProfit Factor
Normal> 1.5
High Stress> 1.3
Critical Test> 1.2

📉 Filter Example in StrategyQuant:

Retest with 3 pips slippage profit factor > 1.3
Retest with 10-point NAS100 slippage profit factor > 1.4

🛢️ Oil CFD Slippage Ranges

SymbolNormal SlippageHigh Slippage (News/Low Liquidity)
WTI Oil (USOIL)2 – 4 points8 – 15 points
Brent Oil (UKOIL)2 – 5 points10 – 18 points

⏱️ Key Factors That Affect Oil Slippage:

  • Time of day: Spreads and slippage widen outside U.S. and London trading hours.
  • Inventory data: Weekly U.S. Crude Oil Inventories and OPEC announcements can cause sudden spikes.
  • Market volatility: Geopolitical news, wars, and inflation data affect slippage drastically.

🔍 Profit Factor Filters for Oil Slippage Retesting

Test TypeSuggested Profit Factor
Normal Slippage> 1.5
High Slippage> 1.3
Extreme Scenario> 1.2

📆 Recap & Key Takeaways

  1. Multi-Market: Always retest on correlated, inverse, and uncorrelated assets.
  2. Multi-Timeframe: Retest up and down by one step to check time compression/expansion viability.
  3. Slippage: Test under normal and extreme conditions.
  4. Filtering: Use PF > 1.4+ for stable retests. Filter aggressively to avoid overfitted strategies.

🪙 Gold CFD Slippage Ranges

SymbolNormal SlippageHigh Slippage (News/Low Liquidity)
XAUUSD (Gold)1.5 – 3.0 points5 – 10 points

⏱️ Key Factors That Affect Gold Slippage:

  • Major news events: Gold is highly sensitive to CPI, NFP, interest rate decisions, and geopolitical crises.
  • Asian session vs. London/NY: Liquidity is lower during the Asian session, leading to wider spreads and higher slippage.
  • Volatility spikes: Gold can move 10–30 points in seconds during macroeconomic releases, affecting stop orders and execution quality.

🔍 Profit Factor Filters for Gold Slippage Retesting

Test TypeSuggested Profit Factor
Normal Slippage> 1.6
High Slippage> 1.3
Extreme Scenario> 1.2

🚀 Final Thoughts

Don’t fall into the trap of curve-fitting for one market, one TF, and zero slippage. The world is not that kind. Build for reality. Test like a machine. Trade like a sniper.

If you found this helpful, share it with the StrategyQuant community — and keep building smarter systems. – Dave

More posts