I finally figured out the problem here, as I was having the exact same issue. For me: The problem is that I was looking in : C:\Users\JVD\AppData\Roaming\MetaQuotes\Terminal\D0E8209F77C8CF37AD8BF550E51FF075\Agent-127.0.0.1-3000\MQL5\Files and not: ...

Why I cannot see the file which should be created in mql5?