Profit factor, expectancy and max drawdown in the MT5 report
By the Trading Journal team · Updated · 7 min read
Where the numbers are
Export the history from the History tab as a report (how to export your MT5 trade history). Below the tables of positions, orders and deals sits a summary of the exported period. Newer MetaTrader 5 builds also show a Trading Report with the same kind of figures, described in MetaQuotes’ Trading Report help.
Every figure covers only the period you exported: export a month, and the profit factor is that month’s.
A worked example
Ten closed trades, results already after commission and swap, starting from a $10,000 balance:
| Trade | Result | Balance after |
|---|---|---|
| 1 | +120 | 10,120 |
| 2 | −80 | 10,040 |
| 3 | +200 | 10,240 |
| 4 | −100 | 10,140 |
| 5 | −60 | 10,080 |
| 6 | +150 | 10,230 |
| 7 | −90 | 10,140 |
| 8 | +40 | 10,180 |
| 9 | −120 | 10,060 |
| 10 | +180 | 10,240 |
Each number below is worked out on these ten trades.
Net profit, gross profit and gross loss
- Gross profit — the sum of the winning trades: 120 + 200 + 150 + 40 + 180 = $690.
- Gross loss — the sum of the losing trades: 80 + 100 + 60 + 90 + 120 = $450.
- Total net profit — the difference: $240.
Check whether a total includes costs before you compare it with anything. MetaQuotes’ help for the Trading Report says its gross profit and gross loss leave swaps and commissions out and lists them as separate totals; in this example every result is already after costs. Where the costs sit in the report and how to add them up: swaps and commissions in the MT5 report.
Profit factor
Gross profit ÷ gross loss = 690 ÷ 450 = 1.53: $1.53 won for every $1 lost. MetaQuotes’ testing report help defines it the same way; 1 means profits equal losses.
What it hides: how the money is spread. One huge winner can carry a profit factor above 1 for a strategy that loses on most days.
Expected payoff
Net profit ÷ number of trades = 240 ÷ 10 = $24 a trade. MetaQuotes calls it the average return of one deal, and an estimate of what the next one is worth.
The same number from the other side: the win rate times the average win, minus the loss rate times the average loss. Here 5 of 10 trades won, the average win is $138 and the average loss $90: 0.5 × 138 − 0.5 × 90 = $24. This version shows which lever to pull — win more often, win bigger or lose smaller.
Win rate
Winning trades ÷ all trades = 5 ÷ 10 = 50 %. Some tools, ours included, leave break-even trades out of the count; this example has none. Alone it says little: a 70 % win rate with small wins and big losses can still lose money, and a 35 % one can make it. Read it only next to the average win and the average loss.
Max drawdown
The deepest fall of the account from a peak before a new peak. In the example the balance reaches $10,240 after trade 3, falls to $10,060 after trade 9, and only then returns to a new high: a maximum drawdown of $180, or 1.76 % of the peak.
- Balance drawdown counts closed trades only.
- Equity drawdown also counts open positions while they are open — usually deeper, because a trade can go far against you before it closes. Prop firms check limits against equity.
Recovery factor
Net profit ÷ maximum drawdown = 240 ÷ 180 = 1.33. In MetaQuotes’ words it shows the risk taken to earn the profit; the higher it is, the faster the account recovered after its drawdowns.
Sharpe ratio
The average return divided by its variability. MetaTrader computes it differently in different places — the tester assumes a zero risk-free rate, the Trading Report uses a deposit rate — so don’t compare a Sharpe ratio from MT5 with one from another tool. On a few dozen trades it moves a lot from one month to the next.
How many trades are enough
The example has ten trades. Swap trade 10 from +180 to −180 and the profit factor drops from 1.53 to 0.81 — the same «strategy», a different verdict. That is why we mark any number built on fewer than 15 trades as a small sample, and why a month of results says more than a week.
What the summary cannot tell you
The report sums the whole period. It cannot show which setup pays, which hour or weekday costs you, or what a moved stop or a revenge trade was worth — that needs the trades sliced and tagged. More in the guide How to keep an MT4/MT5 trading journal.