Live Trade Journaling with MAE, MFE, and R-Multiple Metrics

Summary

The article presents a reusable MQL5 journal that records a position’s path while it is open, rather than relying only on the final deal history. Called on every tick, it tracks maximum adverse excursion and maximum favorable excursion in account currency, captures initial risk from the opening stop distance, and writes a structured CSV record when the position closes. The EA can also provide an entry reason and custom indicator context.

The discussion explains how these measurements distinguish trades with identical closing profit but very different interim drawdowns, and how R-multiples make results comparable across position sizes and stop distances. It suggests using excursion ratios and R distributions to investigate entry timing, stop placement, and profit management. This is a measurement and implementation tool, not evidence that any strategy has an edge. It tracks only registered market positions, depends on correct tick-by-tick integration, and may require extra care for externally closed trades and local file access.

Key ideas

• Maximum adverse and favorable excursions reveal intratrade movement hidden by final profit and loss records.
• R-multiples express outcomes relative to initial risk and support comparison across varying trade sizes.
• The journal updates position statistics on every tick and writes a CSV record after closure.
• Entry reasons and custom indicator context can be stored alongside the trade measurements.
• The tool depends on correct registration and integration, and it does not establish that a strategy is profitable.

Tags

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