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The article quantifies correlation and portfolio risk in MetaTrader 5: from time-aligned returns to a covariance matrix, true portfolio variance against the independent-sum assumption, and position-level risk attribution. A MetaTrader 5 service runs in the background, shows the metrics on a small chart panel, and pushes alerts when risk thresholds are crossed. Source code is provided for an example script, a reusable risk engine class, and the service.
You think you're diversified. Your correlations say otherwise. MetaTrader shows you every position you hold. The margin, the floating P/L, the lot size, all of it. What it doesn't show you is whether your trades are secretly the same bet. And that's usually what takes the account down. Say you open five trades, 1% risk on each. Feels like 5% at stake. Spread out, sensible. But three of them are long the same dollar move under different tickers, so when one bad print hits, all three drop together
Complete Trade Logger records every trade you close into a clean, ready-to-analyze CSV file. Unlike timer-based loggers, it is fully event-driven, so it captures everything: partial closes, fast round-trips, stop-loss and take-profit hits, manual closes, and margin stop-outs. For each closed trade it records: - Open and close time, and trade duration - Symbol, direction, and volume - Open price, close price, and the entry stop-loss / take-profit - Profit, commission, swap, and net result - Exit