TesterStats: Strategy Tester report statistics in MQL5 code - library for MetaTrader 5

TesterStats.mqh calculates the statistics of the Strategy Tester report from the deal history. It also gives the ones that TesterStatistics() does not return: Z-Score, AHPR, GHPR, LR Correlation and LR Standard Error. You can use them in a custom optimization criterion, or on a live account to get the same numbers as in a backtest report.

#include <TesterStats.mqh>

CTesterStats stats;

void OnTick()
  {
   stats.TrackEquity();      // only needed for the equity drawdown and the recovery factor
   ...
  }

double OnTester()
  {
   stats.Calculate();        // or stats.Calculate(magic, symbol)
   Print(stats.Text());
   return(stats.ghpr);
  }

I checked it against the tester in 5 tests (EURUSD, USDJPY, XAUUSD, fixed lots and percent risk, with and without TesterWithdrawal) by comparing 44 values with TesterStatistics() and the HTML report. With "1 minute OHLC" and "Every tick" all 44 were the same. With "Every tick based on real ticks" the tester checks the equity less often, so the equity drawdown here was 0.05% to 0.26% deeper; the other values were the same.

Rules of the report that the code follows: a trade with a result of 0.00 counts as a profit trade; deposits and withdrawals after the start are kept out of the balance drawdown, and for the equity drawdown a withdrawal starts a new peak; AHPR and GHPR count a withdrawal as a loss; the Z-Score probability is taken from Z rounded to 2 digits. Sharpe Ratio is not included. Tested on accounts without commission.

TesterStatsExample.mq5 is a moving average cross whose optimization criterion is GHPR weighted by the LR Correlation.