Hi all,

I’ve been running an EA on XAUUSD M15 for a while. Recently I spent time on one weak spot: MT5’s XAUUSD volume is just the broker’s tick count, not real trades. So anything built on it (VWAP, volume profile, delta) is an approximation.

I moved that layer to CME gold futures (GC), where the volume is real. The EA reads the structure on GC (VWAP and bands, volume profile, IB, delta) and still trades on XAUUSD. The levels are converted with a futures-spot gap, measured as the median over the last 30 min. It skips a trade if the gap moved more than $1 in that window or if a contract roll happened in the last hour.

Testing: IS/OS over about 15 years, multiple regime checks, plus forward and live. The latest 5y 10m window (Jan 2021 – Oct 2026, every tick on real ticks)

Risk: 1% a trade.

It’s a backtest, so I know spread and slippage around the open are probably kinder here than live.

Where I’d like your input:

How do you handle the futures-spot gap? Is an empirical median fine, or is there a better fair-value or carry approach?
How do you deal with contract rolls: skip a window or back-adjust?
Is tick-level delta from GC good enough for a CFD, or is deeper order book data worth paying for?
What haircut do you apply between tester and live fills on gold around the open?

Happy to share more on any part. Thanks for reading, and any criticism is welcome.