Average spread settings for backtesting

When you backtest a strategy, you should remember to add your expected spread costs so the result is more realistic. It depends on the broker what spread they typically charge, and that can again vary a lot from instrument to instrument. We have made an overall guide to how much spread you should expect to add when your backtest. These spreads are based on the average spreads in the industry and serve as a general guideline. Please notice that all commissions have been included in the spread costs below.

Symbol: "EURUSD": 1-2 pip.
Symbol: "USDJPY": 1.5-3 pip.
Symbol: "GBPUSD": 1.5-3 pip.
Symbol: "EURJPY": 2-4 pip.
Symbol: "EURGBP": 1.5-3 pip.
Symbol: "AUDUSD": 1.5-3 pip.
Symbol: "USDCHF": 2-4 pip.
Symbol: "USDCAD": 2-4 pip.
Symbol: "GBPJPY": 2-4 pip.
Symbol: "GBPCHF": 2-6 pip.
Symbol: "EURCHF": 2-5 pip.
Symbol: "NZDUSD": 1.5-3 pip.
Symbol: "XAUUSD": 3-5 pip.
Symbol: "XAGUSD": 3-6 pip. 
Symbol: "HK33HKD": 50-100 pip*.
Symbol: "DE30EUR": 10-30 pip*.
Symbol: "SPX500USD": 5-20 pip*.

 

* Please notice that in Tradeworks DAX, Hong Kong 33 and SP500 have two decimals instead of the standard one. If your broker only use 1 decimal you need to add an extra 0 to your usual spread. For example, the DAX spread would then become 10-30 pips instead of 1-3.

 

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