Instant Trade Analyzer (EA)

Hi all,

This is a tools to make a quick analyze of trade history.

Instant Trade Analyze
Just attaching this on any chart,
it reads trade history in your terminal and indicates the followings.

1) Trading Period (from the first entry to the last Exit) .
2) the number of Total - Buy - Sell trades.

Performance Measures -----

3) Trade Frequency per day
4) Winning Average of Total - Buy - Sell trades.
5) Total P/L
6) Avarage amount of win/loss trades
7) Profit / Loss Ratio
8) Profit Factor
9) Ronald Raygun's Success Score & BreakEven Ratio
* I'll delete if he doesn't like it.
10) Optimal f (Kelly formula)
11) Tiny lot calculation function using fractional Kelly

Optional function
1) Show only statistics of Chart Symbol.
2) Show only statistics with Specific MagicNumber
3) Show only statistics in Specific Period
*These options can be combined like 1) + 2) or 2) + 3).

About lot calculation function using fractional Kelly
1) You have to specify Stoploss in pips.
2) You have to specify MagicNumber if you are using several systems.
3) You have to attach this on the symbol chart your system is going to trade.
4) You can adjust fractional value as you like (it must be less than 1, of course)

SkipComment
This field is meant to be used for skipping transactions that is not a trade (mainly fund deposit).
If these fields are filled with some word like "Paypal dep", a transaction that include it in ordercomment will be ignored.

Development ?
There are a lot of ways to measure the performance of a trading system,
and I can't include everything in this tool. (simply impossible)
Feel free to add any measures on this and please post it here.

If you are not a coder, and know useful measures, just posting formula would be fine.
It won't be difficult for a coder to write a calculation code.

Another idea of usage :
You can place this kind of function in deinit() of EA
and automatically log out the statistics at the end of backtest, etc..

Anyway, have fun.

Nice. Thnx!

Hi,

I'm coding on Alpari(UK) Demo MT4 Build 220 (5 digits) and have no problem.
Can you see any errors in your journal or expert tab (e.g. zero divide) ?

*I forgot to tell you that the picture I attached above is FXDD Live (4 digits) and both works fine.

I have fixed some possible zero divide errors and have posted it to #1.

lohikeitto,

When optimal f kelly is negative (and optimal f lots also) what i should do in the trade?

Nuozek,

As I understand, the meaning of Oftimal f　(Kelly) is the followings.

1) Optimal f is a theoretical value to maximize your equity.
If f>0, the most efficient way to bet is always bet Equity * f.

(It's only theoretical and considering it's high probability of bankruptcy,
you should not use as it is. That is why fractional Kelly is often used.)

2) If f for the game is <= 0 in the long term, You should not participate in the game
because it means the game doesn't have the statistical edge.

3) You should not bet more then f, it's less efficient.

Regarding to 2), Even if the game (In the case of trading, it means a trading system) has the statistical edge,
f<=0 can happen in the short period of time.
So you have to take long enough time before you estimate what f is optimal for the system.

In other words, It's difficult to use it as a dynamic value for a trading system
because f is always changing and has less meaning if the number of trade is not enough.

regards,

HI, could You add the calculation of pips

This would be super usefull with the pips and be able to add time as well as the date. Thanks

just an idea could someone please add this into a basic MA cross EA and use the
Optimal f for the lot size.

I want know is there offline analyzer tool, like myfxbook, I need profit/loss daily chart.