Measuring Trade Entry, Exit, and Overall Efficiency from Deal History
Summary
The article defines normalized measures for evaluating how well a trading system enters and exits trades relative to the price range reached during each trade. Entry efficiency compares the entry price with the trade’s favorable extreme; exit efficiency compares the exit with the same range. A combined trade-efficiency measure captures realized movement from entry to exit relative to the full high–low range. The measures distinguish poor entry timing from poor exit timing and can help identify which part of a system needs improvement.
A second focus is adapting these calculations to MetaTrader 5 deal history, where positions can be increased, partially closed, or reversed. The author explains how to reconstruct individual trades from executed deals and clarifies the distinction between orders, deals, positions, and the article’s statistical unit, the trade. The article provides formulas and historical examples, but does not establish that the measures predict future profitability. The overall measure can be negative when a trade loses, and interpretation depends on how the trade’s price extremes and deal sequence are defined.
Key ideas
- Entry efficiency measures the entry’s location relative to the full price range reached during a trade.
- Exit efficiency evaluates how much of that range is captured at the exit.
- Overall trade efficiency combines entry and exit performance and can range from a loss-side to a gain-side result.
- MetaTrader 5 deal records must be reconstructed to account for partial closes, position increases, and reversals.
- Statistics should be based on executed deals because a submitted order may not execute as requested.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.