Grouping Trading Performance by Strategy Identifier and Currency
Summary
The document describes an MT5 reporting script that groups account history by magic number and currency, with optional date filters and CSV export. It outlines measures including profit after swaps and commissions, win rate, time-weighted return, profit factor, volume, exposure, net position, and historical drawdown reconstructed from hourly price data. Grouping by magic number can help compare multiple expert advisors or strategies in one account, while currency summaries offer a second view across instruments.
It also explains maximum adverse excursion (MAE), including average, maximum, and 95th- and 99th-percentile values, to describe losses experienced while trades were open. These statistics can help assess strategy behavior and downside exposure, but the document provides no validation of the calculations, sample results, or guidance on interpreting them. Drawdown estimates depend on hourly OHLC reconstruction, which may miss intrabar extremes; reported metrics therefore should not be treated as a complete account of execution risk.
Key ideas
- The report groups historical trading results by magic number and currency.
- Profit and return measures include swaps and commissions in total P&L.
- Hourly OHLC reconstruction is used to estimate historical peak drawdown.
- MAE statistics summarize adverse movement experienced by individual trades.
- Metric estimates depend on available history and the resolution of the underlying price data.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.