Auditing Hidden Martingale, Grid, and Ruin Risks in Trading Histories

Summary

The article presents a method for screening closed-position histories for risks that headline win rates, profit factors, and equity curves can hide. It reconstructs positions from CSV rows or account deal history, then scores four features: larger trades following losses, overlapping same-direction positions entered at worse prices, asymmetric wins and losses, and an estimated classical risk of ruin. The component scores are combined with configurable weights into a safety score and letter grade, with recommendations explaining the result.

The article gives default thresholds and illustrates the tool with reproducible demonstration data, while describing a native MQL5 implementation. The ruin estimate uses observed win rate and payoff ratio with an assumed fixed risk per trade. Its iid-outcome assumption is a major limitation: real trade sequences may be dependent, and the estimate is only one diagnostic dimension. The grid check groups positions by individual symbol, so it may miss averaging across correlated instruments; any grade depends on the selected thresholds and the completeness of the trade history.

Key ideas

• Closed-trade summaries do not reveal position sizing or exposure patterns that may signal hidden risk.
• The auditor checks post-loss volume increases, worsening-price overlaps, payoff asymmetry, and estimated ruin probability.
• Position reconstruction folds partial fills into one row for each fully closed position.
• The composite grade is configurable and should be treated as a screening aid, not a guarantee of safety.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.