Average MFE/MAE snippet

• 04/07/2021 at 6:10 PM #166439
  zilliq

  Hi Guys,

  Does someone of you have an average MAE/MFE snippet as indicated on the backtests results ?

  Thanks and have a nice day

  

  zilliq

  Participant

  Topics: 58

  Replies: 683

  Been thanked: 152 times
  04/08/2021 at 8:16 AM #166456
  nonetheless

  no idea how you would code that, but you can always drag the results into Excel if you just want to know the averages.

  Or do you want to use that data as part of your strategy?

  

  nonetheless

  Participant

  Topics: 83

  Replies: 1237

  Been thanked: 978 times
  04/08/2021 at 8:19 AM #166457
  Nicolas

  Some examples about MAE/MFE calculation:

  https://www.prorealcode.com/topic/mae-mfe-code-indicator/#post-129348

  https://www.prorealcode.com/topic/mae-and-mfe-calculator/

  https://www.prorealcode.com/topic/mae-maximisation/#post-143693

   

  1 user thanked author for this post.

  nonetheless

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20863

  Been thanked: 4774 times
  04/08/2021 at 8:31 AM #166463
  zilliq

  Thanks @Nicolas

  But

  Link1 : Doesn’t work

  Link2 : It’s an indicator not in proorder

  Link3 : I will try

   

  @nonetheless

  Yes I want to try a filter based on

  Have a nice day Guys

  

  zilliq

  Participant

  Topics: 58

  Replies: 683

  Been thanked: 152 times
  04/08/2021 at 8:37 AM #166464
  zilliq

  The link3 with your code @Nicolas seems not to work

  Any ideas ?

  

  zilliq

  Participant

  Topics: 58

  Replies: 683

  Been thanked: 152 times
  04/08/2021 at 8:58 AM #166467
  Nicolas

  It is a calculation in points, not in currency, I do not understand the comparison?

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20863

  Been thanked: 4774 times
  04/08/2021 at 9:31 AM #166475
  zilliq

  It’s in EUR/USD so 1 pip=10 USD easier to calculate and verify

  The problem seems to be when PRT calculate MFE

  As you see on the picture

  The abs perf (In this strategy) is 300 USD (Stop loss) and as you see on the strategyprofit curve its never higher of 300 USD (on this trade)

  But in the backtest result we have a MFE of 336 USD ???

  

  zilliq

  Participant

  Topics: 58

  Replies: 683

  Been thanked: 152 times
  04/08/2021 at 9:39 AM #166480
  zilliq

  @Nicolas

  To try use a strategy on EUR/USD, put a stop/target at 300 USD

  Add

  graph (((high-positionprice)*pointvalue)*countofposition)/pipsize

  You will have a “band” between -300/+300 but a MFE higher ??

  Don’t understand why, or it’s a bug

  

  zilliq

  Participant

  Topics: 58

  Replies: 683

  Been thanked: 152 times
  04/08/2021 at 9:57 AM #166483
  Nicolas

  So

  (((high-positionprice)*pointvalue)*countofposition)/pipsize

  1	(((high-positionprice)*pointvalue)*countofposition)/pipsize

  was the calculation you were looking for to compute the MFE for a long order, right?

  For the 336USD MFE, please share the code so I can replicate and find out why, thanks.

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20863

  Been thanked: 4774 times
  04/08/2021 at 11:41 AM #166516
  zilliq

  I will send you, but first, very often on a backtest MFE is a Zero

  A bug I see very often

  

  zilliq

  Participant

  Topics: 58

  Replies: 683

  Been thanked: 152 times
  04/08/2021 at 12:01 PM #166519
  zilliq

  Try with this simple code for example:

  defparam cumulateorders=false //dummy strategy if rsi[14] crosses over 50 then buy 100000 contracts at market endif set stop ploss 25 SET TARGET PPROFIT tg //increase the array index if not longonmarket and longonmarket[1] then index=index+1 endif //compute the MFE if longonmarket then mfe = max(mfe,high-tradeprice) $mfeArray[index] = mfe endif //at least 10 orders to allow the average calculation if isset($mfeArray[2]) then sum=0 for i = 0 to index do sum=sum+$mfeArray[i] next avg = sum/index endif graph avg

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33

  defparam cumulateorders=false //dummy strategy if rsi[14] crosses over 50 then buy 100000 contracts at market endif set stop ploss 25 SET TARGET PPROFIT tg   //increase the array index if not longonmarket and longonmarket[1] then index=index+1 endif //compute the MFE if longonmarket then mfe = max(mfe,high-tradeprice) $mfeArray[index] = mfe endif //at least 10 orders to allow the average calculation if isset($mfeArray[2]) then sum=0 for i = 0 to index do sum=sum+$mfeArray[i] next avg = sum/index endif graph avg

  On backtest results MFe and MAE  are generally Zero

  And when you have MFE it’s over the Target …

  Seems to have different bugs

   

   

  

  zilliq

  Participant

  Topics: 58

  Replies: 683

  Been thanked: 152 times
  04/08/2021 at 1:15 PM #166526
  zilliq

  Another, problem, with the same code above

  With tg=41 for example

  If we add all MFE and divide py 8=number of trades, the results (Average MFE is 287.5)

  BUT if you see teh backtests results it gives 258.75 …

  

  zilliq

  Participant

  Topics: 58

  Replies: 683

  Been thanked: 152 times
• Author
  Posts