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QBrain Execution Friction Monitor - indicateur pour MetaTrader 5
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QBrain Execution Friction Monitor
QBrain Execution Friction Monitor is a quantitative diagnostic indicator for MetaTrader 5 developed by Davinci-lab.
Its purpose is to measure assumed round-trip execution friction relative to observed market volatility.
In short-horizon trading, detecting a statistical signal is not sufficient. Spread, commission and slippage can consume a material fraction of the price movement available to a strategy.
The indicator evaluates:
Friction Ratio = (Spread + Commission Equivalent + Assumed Slippage) / ATR
It displays ATR in points, current bid/ask spread, Spread/ATR ratio, commission equivalent in points, assumed round-trip slippage, total assumed execution friction, Total Friction/ATR ratio and an estimated monetary friction for a configurable reference lot.
By default, ATR is calculated using the last completed bar rather than the still-forming bar.
Commission and slippage are user-defined assumptions because actual execution conditions depend on the broker, account type, instrument and market environment.
Interpretation
The indicator does not determine whether a strategy has an edge. It quantifies one component of strategy feasibility: the magnitude of execution friction relative to observed price movement.
A low friction ratio does not demonstrate profitability, and a high friction ratio does not prove that a strategy cannot work. The metric should be interpreted together with signal expectancy, holding period, market regime and execution characteristics.
Limitations
The indicator does not trade, generate BUY or SELL signals, predict market direction, estimate future profitability, or model market impact and order-book position.
It is intended for quantitative research, strategy diagnostics and execution-cost awareness.
Davinci-lab develops the technology. QBrain delivers the tools.
QBrain — Research. Validate. Automate.
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