Edge or Luck: A Bootstrap Test for Your Average Trade
Info
The Edge or Luck: A Bootstrap Test for Your Average Trade is a Script for MetaTrader 5 that edge or luck analyzes your closed trades to determine if your average trade is statistically significant or merely a result of chance. While profit or profit factor indicates outcomes, this script estimates the likelihood that those results could arise from random fluctuations, especially with a limited trade history.
Usage
This tool is typically used for enhancing chart analysis and decision making.
Platform
This Script works exclusively on MetaTrader 5 (both build 600+ and newer versions).
Setup
Place the downloaded file in MQL5/Scripts folder via File ? Open Data Folder in MetaTrader 5.
How to Install and Use Edge or Luck: A Bootstrap Test for Your Average Trade
1. Installation: Move your script file into the MQL/Scripts directory and restart the platform.
2. Execution: Drag the script onto a chart; it will perform a one-time action, such as closing all open orders or clearing chart objects.
3. Editing: Use MetaEditor (F4) to modify code, click "Compile," and verify no errors appear in the terminal before running.
4. Removing: Scripts stop automatically, but you can remove them manually by right-clicking the chart and choosing "Remove Script."
Frequently Asked Questions
Q: How are scripts different from EAs? A: Scripts execute a single action and then stop; EAs monitor the market and trade continuously.
Q: Can I assign a hotkey to a script? A: Yes, right-click the script in the Navigator, select "Set Hotkey," and define your preferred keyboard shortcut.
Q: Why did my script stop? A: Scripts are designed to stop immediately after finishing their programmed command; this is normal behavior.
What this tool does
Edge or Luck analyzes your closed trades to determine if your average trade is statistically significant or merely a result of chance.
Typical Use Case
This Script excels in automated trading and technical analysis on MetaTrader 5.
Compatible Platform & Setup
This Script works on MetaTrader 5. Place the file in the MQL5/Scripts folder and restart the terminal.
Description & Settings
Related: Kalman Filter: Exact Diffuse Initialization for Local Level and Time-Varying Hedge Ratio Models - another powerful script for MetaTrader 5 traders.
Edge or Luck analyzes your closed trades to determine if your average trade is statistically significant or merely a result of chance. While profit or profit factor indicates outcomes, this script estimates the likelihood that those results could arise from random fluctuations, especially with a limited trade history.Also recommended: Edge Drift Detector: Identify and Quantify Strategy Performance Degradation - similar script with strong performance on MetaTrader 5.
The script employs a bootstrap resampling method. It randomly selects trades from your account history, with replacement, to simulate multiple trading scenarios. By repeating this process 10,000 times, it generates a distribution of average trade outcomes. The central 95% of these averages represents the likely range for your true average trade. This method does not assume a specific distribution shape for your returns, which is suitable for trading where a few significant trades can heavily influence overall performance.
Interpreting the Results:
- The entire range is above zero: This suggests your trading edge appears to be real based on the sample.
- The range includes zero: The observed results could potentially be due to luck.
- The entire range is below zero: This indicates that losses are larger than what chance alone would typically explain.
- Fewer than 30 trades (configurable): The script will indicate that the sample size is too small for a reliable judgment. With very few trades, the bootstrap method may produce overly narrow confidence intervals as it cannot account for potential future losses not yet experienced.
The results are displayed in the Experts tab of the Terminal and in the top-left corner of the chart. The chart symbol is irrelevant as the script accesses the entire account history. You can rerun the script with different settings to analyze specific Expert Advisors or recent trade periods.
Trade Counting Methodology:
Each closed position is considered a single trade. The net result includes profit, commission, fees, and swaps as recorded by your broker. Deposits, withdrawals, and external charges are excluded, as are open positions. On netting accounts, reversing a position constitutes one trade.
Parameters:
Magic Number: -1 for all trades, 0 for manual trades, or a specific EA's magic number.
Symbol: Leave blank to include all symbols.
Only trades closed in the last N days: Set to 0 for complete history analysis.
Resamples: Range from 1,000 to 100,000 (default is 10,000).
Fewest trades for a verdict: Default is 30.
Important Notes:
This script is read-only and does not affect trading operations. It can be safely used alongside live Expert Advisors.
The random number generation is seeded, ensuring consistent results when rerunning the script with identical parameters and history.
This test analyzes past performance and does not predict future market behavior. Past results are not indicative of future outcomes.
For a comprehensive analysis including drawdowns, losing streaks, commission, and swap costs, consider the YuRaLytics Trade Analyzer, available for free on the Market.
You may also like: Edge Meter: Does Your Entry Signal Profit After Costs? - excellent alternative for script users on MetaTrader 5.
Source Code
#property copyright "RobotFX"
#property link "https://robotfx.org"
#property version "1.00"
#property description "This code is educational. Feel free to use, modify and upgrade as you wish. Visit ROBOTFX.ORG for professional trading tools"
#property script_show_inputs
#include <Generic\HashMap.mqh>
input long InpMagic = -1;
input string InpSymbol = "";
input int InpDays = 0;
input int InpRuns = 10000;.......
⚠ Limitations & Risk Warning
- This tool is provided for educational and testing purposes only.
- Past performance does not guarantee future results.
- Trading involves substantial risk of loss. Use on a demo account first.
- Results may vary depending on market conditions, broker, and settings.
- We recommend thorough backtesting and forward testing before using with real funds.