Discussing the article: "Creating a Profit Concentration Analyzer in MQL5"

[MetaQuotes]

Check out the new article: Creating a Profit Concentration Analyzer in MQL5.

Net profit and win rate tell you how much a strategy made, not how the result is distributed. This article builds a native MQL5 script that reads your closed trades and measures profit concentration: the top-N trade share, the Gini coefficient of the winners, an outlier-dependence stress test that removes the best few winners, and the largest day against a prop-firm consistency limit. It combines these into one A+ to F score with recommendations, running inside MetaTrader 5.

Net profit and win rate are the first numbers most traders look at, and both can be high while the system is fragile. Consider two strategies that finish a test with the same net profit over the same 200 trades:

• Strategy A wins a little more often than it loses, and its winners are similar in size. No single trade is responsible for more than a small slice of the total.
• Strategy B shows the same headline figures, but four trades account for 70% of the profit. The other 196 trades, taken together, barely break even.

On the report, they are twins. In practice, Strategy A has an edge that appears again and again, while Strategy B has caught a few large moves that may not return. Had those four trades been filled a little worse or missed altogether, Strategy B would be a losing system. The net profit is real, but it is not evidence of a repeatable process.

The same logic applies across time rather than across trades. An account that earns most of its profit on one explosive day can still fail a funded-account consistency rule, which caps how much of the total may come from a single day. A strategy can clear its profit target and be rejected anyway because the profit was not spread out. Measuring concentration tells you, before you risk real capital, whether the result is broad enough to trust.

Author: Cristian David Castillo Arrieta