MAE maximisation

• 09/05/2020 at 4:20 PM #143431
  Kovit

  Hi guys,

  I’ve been immersed in my bots for the past few weeks so apologies if the answer is already covered in the forum, I’m going to catchup on the threads this evening.

  I have fine tuned an autotrading bot for good profit but I’m looking for a way to maximise the missed out MAE when I have a set take profit figure considering the trailing stop loss doesn’t kick in with my broker IG only the set stop loss.

  All suggestions welcome and very much appreciated.

  Thanks in advance,

  Kovit

  

  Kovit

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  09/07/2020 at 9:15 AM #143510
  Nicolas

  Take the average of MAE and use it as a dynamic takeprofit.

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  Kovit

  

  Nicolas

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  09/08/2020 at 5:15 PM #143640
  Paul

  That sounds easy, but I struggled & failed to code it. Could you show us how it’s done properly to calculate an average of the maximum favorable excursion from all trades done? I question if it should be separated for long & short. It could be a very usefull snippet!

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  Kovit

  

  Paul

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  09/08/2020 at 6:13 PM #143648
  zilliq

  You just need to use SET STOP $LOSS  var with the variable var , it’s simplier

  It will be the same think as finding the best MAE

  For example the cut in this backtest is at 2500 USD

  But remember, it’s one more variable = more overfitting 😉

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  Kovit, Paul

  

  zilliq

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  09/09/2020 at 9:37 AM #143693
  Nicolas

  The 2D chart is indeed a good way to find the average of the MFE, good spot.

  I was thinking of a more dynamic way by calculating the average of MFE inside the strategy. Easier with array:

  long order only, rough idea, need deeper look

  defparam cumulateorders=false //dummy strategy if rsi[14] crosses over 50 then buy at market endif set stop ploss 50 //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) $mfeArray[index] = mae endif //at least 10 orders to allow the average calculation if isset($mfeArray[2]) then sum=0 for i = 0 to index do sum=sum+$mfeArray[i] next avg = sum/index endif graph avg if avg>0 then set target profit avg else set target pprofit 200 endif

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  defparam cumulateorders=false   //dummy strategy if rsi[14] crosses over 50 then buy at market   endif   set stop ploss 50   //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) $mfeArray[index] = mae endif   //at least 10 orders to allow the average calculation if isset($mfeArray[2]) then sum=0 for i = 0 to index do sum=sum+$mfeArray[i] next avg = sum/index endif   graph avg   if avg>0 then set target profit avg else set target pprofit 200 endif

   

   

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  09/09/2020 at 9:39 AM #143694
  Nicolas

  Hmmm MAE or MFE? 🙄

  Sorry, I must be tired, my above code is the average MFE!!

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  09/09/2020 at 10:23 AM #143702
  Paul

  Thanks Nicolas,

  unfortunately I don’t have acces to v11 to test and I ‘am not familiar with variables.

  For my purpose I was looking at MFE. Having one example helps to create the other though.

  Your code covers a few problems I had, such as having a minimum number of trades before calculation can happen. However I don’t understand where the minimum of 10 orders is specified.

  It mentions mae (row19), is that correct because everything else is based on mfe?

  

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  09/09/2020 at 12:35 PM #143727
  Nicolas

  yes sorry, I changed “isset($mfeArray[10])” with only 2 orders.

  BTW, as i said, it is a rough idea, while it computes correctly the average, if we have a takeprofit defined in the strategy, therefore the MFE is already known: it is the takeprofit value! Do you see what I mean?

  

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  09/09/2020 at 12:36 PM #143728
  Nicolas

  V11 is free, open a free EOD account at prorealtime.com, you will be able to test…

  

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  09/09/2020 at 12:54 PM #143732
  Paul

  Yes I understand, takeprofit is a static value. Will give it thought how to put it to good use. Thanks for the v11 EOD account tip!

  

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  10/25/2020 at 12:43 PM #148396
  Kovit

  Thank you everyone for all the input and responses and lol I must have been tired myself as I meant mfe not mae.

  

  Kovit

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  12/18/2021 at 2:20 AM #183524
  Khaled

  Bonsoir Nicolas, merci pour  ce code que je vais tester. Je ne m’y connais pas en Arrays. Est-ce que le code Long/short suivant est correct?

  Array MFE Long/Short

  defparam cumulateorders=false //dummy strategy if rsi[14] crosses over 50 then buy at market endif if rsi[14] crosses under 50 then sellshort at market endif set stop ploss 50 //increase the array index if not longonmarket and longonmarket[1] then index=index+1 endif if not shortonmarket and shortonmarket[1] then index=index+1 endif //compute the MFE if longonmarket then mfe = max(mfe,high-tradeprice) $mfeArray[index] = mfe endif if shortonmarket then mfe = max(mfe,tradeprice-low) $mfeArray[index] = mfe endif //at least 2 orders to allow the average calculation if isset($mfeArray[2]) then sum=0 for i = 0 to index do sum=sum+$mfeArray[i] next avg = sum/index endif graph avg if avg>0 then set target profit avg else set target pprofit 200 endif

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  defparam cumulateorders=false //dummy strategy if rsi[14] crosses over 50 then buy at market endif if rsi[14] crosses under 50 then sellshort at market endif set stop ploss 50 //increase the array index if not longonmarket and longonmarket[1] then index=index+1 endif   if not shortonmarket and shortonmarket[1] then index=index+1 endif //compute the MFE if longonmarket then mfe = max(mfe,high-tradeprice) $mfeArray[index] = mfe endif   if shortonmarket then mfe = max(mfe,tradeprice-low) $mfeArray[index] = mfe endif //at least 2 orders to allow the average calculation if isset($mfeArray[2]) then sum=0 for i = 0 to index do sum=sum+$mfeArray[i] next avg = sum/index endif graph avg if avg>0 then set target profit avg else set target pprofit 200 endif

   

  Merci encore

  

  Khaled

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