I spent a few days auditing a live FX system I built, over 16 years of history. The result was negative in a way I did not expect, and the diagnostic that found it is general enough to be worth writing up — it applies to any parameter search, not just trading.
The setup
17 configurations, 4-hour entry bars, exits simulated on 1-hour bars, 2010-05-28 .. 2026-07-08 (16.1y), 7641 trades. Crucially I fed the unmodified production functions historical CSV instead of a live data feed, so the code path being tested is the code path that runs live.
Bug 1: the simulation charged costs to the wrong place
Platform OHLC bars are BID prices. The backtest placed entry at the bar close, put the take-profit and stop-loss at close ± n·ATR, checked touches against bid highs and lows, then subtracted the spread from the final P&L.
