Logging Entry and Exit Indicators for Closed Trades in MQL5

Summary

This document describes an MQL5 Expert Advisor that records closed positions to a CSV alongside market indicators sampled at both entry and exit. The recorded context includes RSI, Stochastic, price distance from two exponential moving averages, Bollinger %B, ATR, and ADX on two timeframes. The logger is read-only and is intended to support retrospective analysis of a strategy’s rules from trade and market data.

It explains several history-processing pitfalls: position identifiers do not follow close order, timestamps have only one-second resolution, and changing the selected history during iteration can disrupt a scan. The proposed design collects position identifiers first and deduplicates using identifiers rebuilt from the CSV. It also accounts for close-by transactions and reads the magic number from the opening deal. The author cautions that the M1 bar spread is only a summary, not the spread at execution, and should not be treated as an execution-cost measure. These implementation details improve data collection, but they do not establish that any trading strategy is profitable.

Key ideas

• The logger records closed positions with indicator values from entry and exit on two timeframes.
• It uses a set of logged position identifiers to avoid ordering and timestamp collisions during deduplication.
• The history scan collects identifiers before looking up individual positions to preserve the full scan.
• Close-by transactions and opening-deal magic numbers must be handled to avoid missing or misclassifying trades.
• The M1 bar spread is not an execution-time quote and should not be used as the trade’s execution cost.

Tags

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