Why We Do Not Backtest M5 Scalping
Scalping on five-minute charts is one of the most requested topics, and it is precisely the one we cannot test. We explain what is missing rather than publishing a result produced with the wrong instrument.
What we do not have
Intraday quotes. Our data consists of daily bars: one open, high, low and close for the entire day. From those it is impossible to reconstruct what happened inside the day, and the whole logic of scalping lives there. Running a five-minute strategy over daily bars is technically possible and the result would even look plausible, but it would describe a different strategy.
Why substitution does not help
A common suggestion is to fill the gap with assumptions: assume price moved from the open to the high, then to the low, then to the close. Any such assumption imposes an ordering of events we do not know, and for scalping the ordering is the substance: the same daily candle produces opposite results depending on whether the high or the low came first.
Costs decide before the data does
There is a second reason, independent of data. A scalping target is measured in single pips, and costs — spread plus commission plus slippage — are of the same order. That means the result of such a strategy is determined first by execution quality at a particular broker, not by entry rules. A backtest with averaged costs would answer a question nobody asked.
What an honest test would require
Tick data, or at minimum one-minute bars over a long period; real spread statistics by hour from a specific broker; and a slippage model built on actual fills rather than on an assumption. Without those three, any figure about scalping profitability is an estimate presented as a measurement. When the data appears we will run the test and publish the result, whatever it turns out to be.
We publish these explanations alongside the runs themselves. Rules that can be tested are tested and published with their numbers, including the negative ones — see the MACD backtest or the weekly range breakout. The absence of figures here is a result, not a gap.
This material is educational and is not individual investment advice. Backtested results do not guarantee similar results in the future. Trading forex carries the risk of losing capital.
Frequently asked questions
Why can't scalping be tested on daily data?
Because the entire logic of scalping unfolds inside the day, and a daily bar says nothing about the ordering of events within it. The same candle produces opposite results depending on whether the high or the low came first.
Can't intraday movement be modelled?
Any such model imposes a sequence we do not know, and that sequence determines the result. You would be testing your assumption, not the strategy.
What is needed for an honest scalping backtest?
Minute or tick data over a long period, real spread statistics by hour from a specific broker, and a slippage model based on actual fills.
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