Tester script for extending the standard MetaTrader 5 optimization functionality - script for MetaTrader 5

This code is a custom optimization function for the MetaTrader 5 strategy tester. It is not an Expert Advisor, indicator or script in the traditional sense, but a special script used to analyze test results.

Get transaction history from tester

Check minimum requirements (minimum 50 transactions)

Determine initial deposit and time period

Divide the transaction into two periods:

In-sample (IS) - first 70% of the test period

Out of sample (OOS) - last 30% of the period, 1 day apart

Calculate a set of indicators for two periods:

Profitability and drawdowns

Sharpe ratio and Sortino ratio

Profit Factor and Probability of Profitable Trades

Statistical indicators (skewness, kurtosis)

Special indicators (quietness ratio)

Compare IS and OOS distributions using the Kolmogorov-Smirnov test

Check the normality of the distribution using the Jarque-Bera test

Create a comprehensive strategic assessment that takes into account:

Profitability (30%)

Consistency of results (30%)

Risk-adjusted performance (25%)

Statistical quality (15%)

Place the code in the MQL5/Scripts/ folder.

In the strategy tester, select "Custom optimization criteria"

Use this script to evaluate optimization results

Used to verify the stability of the strategy

Analyze the differences between IS and OOS periods

Identify over-optimized strategies

Objectively compare different strategies

Rank strategies based on comprehensive criteria

Minimize over-optimization with data partitioning

Comprehensive evaluation considers multiple aspects of performance

Statistical verification of the robustness of the results

Automatically filter out unfeasible strategies

Requires a large number of transactions (at least 50)

It takes enough historical period to split into IS/OOS

For policies that fail the minimum requirements, the code returns -DBL_MAX

This approach is particularly useful for traders and developers who want to carefully test and optimize trading strategies, minimizing the risk of fitting historical data.

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Attachment download

📎 World-Class_Parameter_Validation_Function.mq5 (13.54 KB)

Source: MQL5 #63121