Strategy Tester Report Statistics with MQL5 Code

Related: Edge Drift Detector: Identify and Quantify Strategy Performance Degradation - another powerful script for MetaTrader 5 traders.

TesterStats.mqh calculates strategy tester report statistics from deal history, providing additional metrics not returned by TesterStatistics(). These include Z-Score, AHPR, GHPR, LR Correlation, and LR Standard Error. These values can be utilized in custom optimization criteria or on live accounts to replicate backtest report numbers.

Also recommended: price action dynamic exit strategy - profit shield pro - similar script with strong performance on MetaTrader 5.

Example Usage:

#include <TesterStats.mqh>

CTesterStats stats;

void OnTick()
{
stats.TrackEquity(); // Required for equity drawdown and recovery factor calculations
...
}

double OnTester()
{
stats.Calculate(); // Optionally specify magic number and symbol: stats.Calculate(magic, symbol)
Print(stats.Text());
return(stats.ghpr);
}


Verification and Methodology:

The library was validated across five tests (EURUSD, USDJPY, XAUUSD, using fixed lots and percentage risk, with and without TesterWithdrawal). Forty-four values were compared against TesterStatistics() and the HTML report. When using '1 minute OHLC' and 'Every tick' modeling, all 44 values matched. With 'Every tick based on real ticks', minor differences in equity drawdown (0.05% to 0.26% deeper) were observed due to less frequent equity checks by the tester; other values remained consistent.

Report Calculation Rules:

- Trades with a 0.00 result are counted as profitable.
- Deposits and withdrawals occurring after the start are excluded from balance drawdown calculations.
- For equity drawdown, a withdrawal initiates a new peak calculation.
- AHPR and GHPR treat withdrawals as losses.
- Z-Score probability is derived from the rounded Z value (2 decimal places).
- Sharpe Ratio is not included.
- Calculations are based on accounts without commission.


Included Example:

TesterStatsExample.mq5 demonstrates a moving average crossover strategy where the optimization criterion is GHPR, weighted by LR Correlation.

This tool is suitable for use in MetaTrader 5 and was last updated in 2026.

You may also like: Visual Analysis Tool for Strategy Tester Results - excellent alternative for script users on MetaTrader 5.

#property copyright "RobotFX"
#property version   "1.00"
#include <TesterStats.mqh>
#include <Trade/Trade.mqh>
input int    InpFast = 10;
input int    InpSlow = 30;
input double InpLots = 0.1;
input double InpSL   = 1.5;
input double InpTP   = 3.0;
CTesterStats stats;

.......

• 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.