44 lines
1.7 KiB
Markdown
44 lines
1.7 KiB
Markdown
 | # Survival
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Survival analysis over your own MetaTrader 5 deal history. Answers how long
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trades last and when they are most likely to die, which a win rate cannot tell
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you.
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Companion code for the MQL5 article: https://www.mql5.com/en/articles/23928
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## What it does
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A win rate collapses a trade's whole life into one bit. It cannot say whether
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losers die early or bleed out slowly, whether an edge decays after a certain
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holding time, or whether a stop is sitting in the worst possible place.
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Survival analysis is built for exactly that question, and it handles censoring,
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which is the part naive approaches get wrong. A trade still open when the
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history ends has not "not failed". It is censored, and dropping it or counting
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it as a survivor both bias the result.
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The engine reads deal history into observations, then produces the Kaplan-Meier
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survival curve, the hazard rate and the cumulative hazard from a single sweep.
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`SurvivalPanel.mq5` draws them.
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The article covers the edge cases, which is where this kind of analysis usually
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goes wrong: partial closes, hedged positions and thin samples.
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## Layout
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```
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Include/Survival/SurvivalTypes.mqh shared types
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Include/Survival/TradeHistory.mqh deal history into observations
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Include/Survival/SurvivalCore.mqh Kaplan-Meier, hazard, cumulative hazard
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Indicators/Survival/SurvivalPanel.mq5 the panel
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Experts/Survival/SurvivalDemo.mq5 demonstration expert
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```
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The panel reads your account's own history, so it needs deals to be present
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before it shows anything.
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## Disclaimer
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Educational code. Past behaviour of any model or dataset says nothing about
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future results. Test on your own data and broker conditions before drawing
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conclusions.
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