Tradestats!

Over the past couple of years I've gotten a lot of help from the forex community. I've taken a lot of mt4 code from the net that's been really helpful for me and I'd like to give a little back. I've written a handy library for outputting trade data during backtesting or live trading. The Tradestats library is easy to implement and outputs various trade data in tabular format (csv file) that's readable in any spreadsheet program. Output values include:

order type
order ticket
lot size
direction of trade
open/close price
open/close time
initial stoploss/takeprofit
%risk of equity per trade
day opened
close reason
pip profit
dollar profit
MAE (Maximum Adverse Excursion)
MFE (Maximum Favorable Excursion)
MAE time
MFE time
Duration of trade (still buggy)

Additional output is completely customizable as well. With a little editing of the mq4 file, you can output any indicator data you can imagine. Currently you can output up to 41 indicator values for every trade.

Tradestats also has the capability to send email notifications when trading live (granted you've setup mt4 correctly). Tradestats will send mail whenever an order is opened or closed and include a few stats as well (which stats it sends is still being worked out).

The mq4 file should be placed in the experts/libraries folder and the mqh file should be placed in experts/include. Once you have both files, take a look inside using metaeditor. The files are documented thoroughly and should explain everything you need to do in order to get it up and running. You only need to insert 4 lines of code in your EA for Tradestats to work. Its very simple to implement.

There are a few things you should know before using Tradestats. The handling of pending orders is a little tricky. When a pending order is set all values are final and are not changed when the order is actually executed. I'm debating whether to have Tradestats update the values when pending orders are actually executed. Also, pending orders that are not executed are not written to the output file. ONLY EXECUTED ORDERS ARE OUTPUTTED. In the future, a switch can be added to turn on the ability to output pending orders as well, but currently it does not exist.

Also, for every customized output variable that is not set, there will be a column of zero's in the output file. This is easily removable with a spreadsheet program though.

Tradestats is geared towards analyzing entries. Its analysis for exits and position sizing are limited in comparision. If you have a system developed and need help optimizing it, let me know. I'm always looking for successful systems

The mq4 and mqh files are included in the reply below. I've also included a sample csv file so you can see what the output looks like.

Here they are. I'm unable to upload csv files so I renamed TrendFriendv1_tradestats.csv to TrendFriendv1_tradestats.txt. Just change the extension back to csv and everything should be fine.

Some updates in this version.

- Time between setting pending orders and their execution is now measured correctly. Format is hh.mm with a catch. 15.3 is actually 15 hours and 3 minutes NOT 30 minutes. 15.30 is 15 hours and 30 minutes

- Duration of a trade is given in the same format

- MAE and MFE bugs fixed. These should be completely accurate now. Had a mixup between bid and ask prices

- profit in pips is now accurate as well. Fixed a casting error from int to double. Now results are just returned as doubles with 0 precision.

- Tradestatsinit function now takes two parameters instead of three. Not a big change but just that much simpler to use

- CurTime() function references have been changed to TimeCurrent() to account for the CurTime() deprecation

Same instructions as before. Just put the mqh file in the include directory and the mq4 in the libraries directory and put the init, start, and deinit function in the corresponding EA functions.

I can't stress how useful these functions have been in my systems development. It allows one to easily weed out consistently bad trades and optimize systems quickly. Feel free to email with any questions.

Hi Loopy! thank you for this nice addition to MT4. I was going to do sth similiar but hadn't really figured out how to proceed. you've given me an example to stduy at. if I could make a better one I'll also post it. otherwise I guess I'll just use yours http://www.forexfactory.com/images/icons/icon10.gif.

Thanks. I can't tell you how much time this has saved when developing new systems. Instead of writing output code for every EA I make, I just put these functions in my code and I have instant statistics I can use to optimize. It saves SOOO much time. Its a little hard to understand how to use this at first so I'll give an example of what I'm working on now.
http://www.beijingbound.com/images/t...atsexample.jpg

This is a plot of ATR (Average True Range aka Volatility) and MFE (Max Favorable Excursion... which is the maximum value a trade is ever worth before its closed... in pips). ATR values are taken at a trades open and MFE is set during the trade. As you can see here, ATR is a relatively good predictor of how profitable a trade can potentially be. I can use this data to set appropriate takeprofit levels based on ATR. The great thing about this is that it only took me a minute to make this with tradestats. There was no entering data into tables. Its all done automatically.

Don't be afraid to get creative with the output fields either. Here's an equation I'm outputting to show where price is located in relation to Bolinger Bands:


This just outputs a price's location in Bolinger Bands as a percentage. The lower BB is 0% and the upper is 100%. Values can be negative (showing that price is below the bottom band) or above 1.0 (100%... showing that price is above the upper band).

These are just a few examples of the different stats you can make with Tradestats. Its so useful. I can't stress that enough. Don't be afraid to ask questions.

Thanks for the nice code mate.

Some observations that perhaps can help you improve the code base. For me, this is a keeper. The only thing that I would change if I could would be the automatic writing of all that userdata when it contains nothing. That might be tricky to solve though.

1. Does getMFE and getMAE still need to be in the include? It is executed out of TradeStatsStart anyway.
2. "string trade_duration[]; //the duration of a trade in hours... still buggy". By the looks of it, the most recent version measures trades in ticks.
3. "handle = FileOpen(StringConcatenate(sys, "_tradestats.csv"), FILE_CSV|FILE_WRITE, ',');" Probably worth checking the handle for errors. I often have Excel still open which places a write lock on the file.
4. "//The second parameter is the output filename. " Doco for this function is based on the old usage.

BTW, your MFE is driving me batty. I'm leaving half my money on the table. Grrr...

Thanks for taking the time to look through it. The inner workings are a little long and burdensome and the fact that you found these errors shows you know how to code well.


Very tricky. I was working on this for days quite some time ago and couldn't find a solution. Metatrader's handling of arrays seems to be a little limited. I tried all sorts of variations of resizing arrays dynamically but to no avail. I seem to remember having a problem with implicit data typing. If you can find a way to do this please share. The undefined userdata in the csv is annoying, but in the end it was just quicker for me to delete those than pull my hair out trying to not write them in the first place.


I'm not 100% sure but I would think it needs to be in there. Those functions were designed to be used in the EA. Best just to leave it there. You shouldn't need to touch the mqh file at all. Just leave it in the directory.


Not ticks... seconds. The datetime data type is the number of seconds from some specific date in 1970. Just divide that number by 60 to find total minutes or 3600 for total hours. After reading your post I went back and looked at this more closely and there is an error in there, but its not in every row. Time never seems to be easy to calculate. THE WORLD NEEDS METRIC TIME UNITS! Thanks for pointing this out.


I also always have excel sheets open. I thought about adding this in but just never got around to it. If excel locks the file it really doesn't matter to check if its open already or not. You'll have to close and rerun the backtest either way.


Doh. Documentation has never been my strong point. Thanks for pointing that out.


Interesting isn't it? MFE and MAE are not my ideas. I read a book about it and it was quite helpful (a very short book btw). I can't remember the author. You'll never grab 100% of the pips in a system unless it exits extremely prematurely. Even then it still wouldn't be possible to grab them all. I remember reading somewhere that grabbing 75% was the number to aim for, but I'm not sure. I still have to look into that some more. Don't take my word on that one.

No worries and thanks. I've programming since I was 9... that would be 26 years now. Never formally taught though, and have never worked on any shared project. Largest codebase I have developed is 55,000 lines and 600 source files in c++. So I know my way around, but have only start looking at MQL about 4 weeks ago.

Reason I ask is that my back test are now multiyear as my EA become more mature and fails less often they take a while to run and I never notice until afterwards. Perhaps just rename the output file. Worse case we can shell out and pskill excel ... or just remember

I agree. There are a few weird things to get used to. Like no type casting, no constants... and the lack of a debugger! . I would LOVE some operator overloading so I could write a logger function that would accept strings and numbers.

The trick would be that even if you did resize the array, the headings would still be there. Anyhow, we can just mod that code.

Just so everyone can understand the power of MFE analysis I found a great article that explains it really well. I'm not sure if I can link this file here, but its worth a shot. If its not allowed, sorry to the moderators... I didn't know.