Discussing the article: "Probabilistic Sharpe Ratio and Minimum Track Record Length from Deal History"

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Check out the new article: Probabilistic Sharpe Ratio and Minimum Track Record Length from Deal History.

The article delivers a practical PSR/MinTRL workflow in MQL5: construct returns from deal history, compute SR/skew/kurtosis, and evaluate normal CDF/quantile via rational approximations with runtime self-tests. We apply it in an EA and a script and validate across 12 Strategy Tester runs on three symbols. This lets you verify a Sharpe ratio against a benchmark and quantify how many trades your strategy still needs.

Your Strategy Tester report gives you a Sharpe ratio and you feel good about it. But here's the question nobody's report answers: is that number real, or did you just get lucky with a short sample? Bailey and Lopez de Prado proposed the Probabilistic Sharpe Ratio (PSR) for exactly this case. Given your actual sample size and returns that rarely fit a textbook bell curve, PSR estimates the probability that your true edge beats some benchmark SR*. Minimum Track Record Length (MinTRL) is the same question turned around: how many trades before you can make that claim with a straight face?

This article extracts both statistics directly from MetaTrader 5 deal history, wires them into a working EA, and validates the result across twelve legs in the Strategy Tester, spanning three symbols. During that testing I found a real bug in the signal code - iHighest/iLowest misused as if they were indicator handles - and I'm documenting the fix here instead of pretending it never happened, because the same mistake can bite you on a live account if you don't catch it first.

Author: Adewumi Babatunde Gbadebo