Trade Excursion Report: MFE and MAE for Closed Trades, Export to CSV
Info
The Trade Excursion Report: MFE and MAE for Closed Trades, Export to CSV is a Script for MetaTrader 5 that this tool generates a report detailing the maximum favorable excursion (mfe) and maximum adverse excursion (mae) for every closed trade. The data is exported to a CSV file for further analysis.
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 Trade Excursion Report: MFE and MAE for Closed Trades, Export to CSV
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
This tool generates a report detailing the Maximum Favorable Excursion (MFE) and Maximum Adverse Excursion (MAE) for every closed trade.
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: Comprehensive Stationarity Testing Suite for MetaTrader - another powerful script for MetaTrader 5 traders.
This tool generates a report detailing the Maximum Favorable Excursion (MFE) and Maximum Adverse Excursion (MAE) for every closed trade. The data is exported to a CSV file for further analysis.Also recommended: Trade Environment Check: Account Mode, Symbol Rules, and Open Positions Report - similar script with strong performance on MetaTrader 5.
Report Contents
Each closed position is recorded on a new line, with entries grouped by DEAL_POSITION_ID. This functionality is compatible with both hedging and netting accounts (tested on a hedging demo account). The CSV file includes the following columns:
- Ticket number
- Symbol
- Direction (Buy/Sell)
- Entry Time
- Exit Time
- Entry Price
- Exit Price
- Profit in Points
- MFE in Points
- MAE in Points
- Capture Ratio
- Bars Spanned
- Holding Time
Inputs
- InpDias: Specifies the number of historical days to analyze (default: 365).
- InpSoEsteAtivo: Determines whether to analyze only the current chart symbol or all symbols in history (default: false).
- InpTF: Sets the timeframe for measuring excursions (default: current chart's timeframe).
- InpArquivo: Defines the name of the CSV file to be created in the MQL5\Files directory.
Summary Log
A summary is printed to the Experts log, including:
- Total trade count
- Number of winning and losing trades
- Net profit/loss
- Median MFE and MAE for winning trades
- Median MAE for losing trades
- Median Capture Ratio
- Median bars per trade
- Count of single-bar trades
- Count of trades that could not be measured due to missing historical bar data (e.g., expired futures). These are reported and not silently omitted.
Measurement Limitations
Excursions are calculated based on the high and low prices of the bars within the trade's holding period on the specified InpTF. The exact price movement within a single bar is not captured. If the 'Bars Spanned' column frequently shows '1', it is recommended to run the analysis on a smaller timeframe for more granular data.
Include File
This Expert Advisor shares the TradeExcursion.mqh include file with the Trade Excursion indicator. Ensure this file is placed in your MQL5\Include directory.
You may also like: Market Information Script for MetaTrader 5 - excellent alternative for script users on MetaTrader 5.
Source Code
#property copyright "RobotFX"
#property link "https://robotfx.org"
#property version "1.00"
#property script_show_inputs
#property description "This code is educational. Feel free to use, modify and upgrade as you wish. Visit ROBOTFX.ORG for professional trading tools"
#include "TradeExcursion.mqh"
input int InpDias = 365;
input bool InpSoEsteAtivo = false;
input ENUM_TIMEFRAMES InpTF = PERIOD_CURRENT;
input string InpArquivo = "trade_excursion.csv";.......
⚠ 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.