Multi-TF Data Grabber Lite: Clean CSV Export for MT5

Related: Understanding MQL5 Timestamps: Server Time, UTC, and Data Export - another powerful script for MetaTrader 5 traders.

Your trading model's accuracy depends on the quality of your data. Many free CSV export tools suffer from common issues like misaligned timeframes, repainting indicators, and lookahead bias, leading to misleading backtest results.

Also recommended: Spread Audit: Analyzing Broker Spreads with M1 Historical Data - similar script with strong performance on MetaTrader 5.

Multi-TF Data Grabber Lite addresses these problems by exporting clean, deterministic, and analysis-ready market data from MT5 to CSV format. It exclusively uses closed bar data, a fixed time range, and eliminates lookahead bias, ensuring consistent and reproducible results every time.

Getting started is simple:

1. Open a chart for your desired symbol (e.g., XAUUSD) in MT5.
2. Drag the DataGrabber_Lite_v105 script from the Navigator onto the chart.
3. In the input dialog, specify your desired date range and select indicators to include.
4. Click OK.

The script supports a flexible date range, defaulting from 2026.01.01 to the last closed bar. You can adjust this to export data for any period, whether it's a few months for experimentation or several years for in-depth analysis.

A dashboard displays live progress, including the current chunk, rows exported, elapsed time, and estimated time of arrival. The dashboard closes automatically upon completion.

Built for reliability, the export process uses a frozen range. If a new bar opens during the export, the process automatically restarts with a fresh freeze, preventing corrupted files. Version 1.05 includes automatic retry functionality.

The tool provides chunked export with clear progress indicators.

Key Features:
- No trading functionality; it is purely a data export tool and cannot affect your positions.
- No DLLs or external trading components.

Exported Data:

You will receive three CSV files, each containing 11 columns, for M1, M15, and H1 timeframes for your chart's symbol. Each row includes:
- Time
- Open
- High
- Low
- Close
- Tick Volume
- MA(20)
- RSI(14)
- MACD Main Line
- MACD Signal Line
- ATR(14)

All indicators are calculated on closed bars only, ensuring no repainting or lookahead bias.

File Location:

Exported CSV files are located in the MT5 terminal's data folder: File → Open Data Folder → MQL5 → Files → DataGrabber → Lite.

Files are named in the format: SYMBOL_TIMEFRAME_YYYYMMDD_HHMMSS.csv (e.g., XAUUSD_M1_20261016_220400.csv).

Note: If symbol history is not fully downloaded on the first run, the generated file might be smaller than expected. Please ensure history is complete, delete any incomplete files, and rerun the script.

The free Lite edition is specifically designed for XAUUSD (Gold) traders, offering M1/M15/H1 timeframes, 4 core indicators, and chart-symbol export. It provides essential data for discretionary traders and initial machine learning experiments.

For advanced users, Multi-TF Data Grabber PRO is available on the Market. It offers an expanded feature set, including 94 ML-ready columns per file, support for up to 10 symbols, 7 base timeframes, 7 built-in indicators (plus custom indicator slots), engineered features, time-based features, news flags, real spread data, and post-hoc future labels for supervised learning.

You may also like: export historical data - excellent alternative for script users on MetaTrader 5.

#property copyright "RobotFX"
#property link "https://robotfx.org"
#property version   "1.05"
#property description "This code is educational. Feel free to use, modify and upgrade as you wish. Visit ROBOTFX.ORG for professional trading tools"
#property strict
#property script_show_inputs
const string GRABBER_VERSION    = "1.05";
const string PRODUCT_TAG        = "DataGrabber Lite";
const int    CHUNK_MIN          = 500;
const int    CHUNK_MAX          = 10000;

.......

• 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.