MAE MFE code/indicator

• 01/16/2019 at 3:31 PM #88818
  aland

  Hi all,

  Is there a readymade code for MAE and MFE.

  I would like to be able to answer the question:

  “what is the maximum amount ever gained since this trade started” – for MFE and the opposite for MAE for both sell and buy orders

  I started writing the code for this but am hoping it already exists

  Also, it would be good to have “what is the MFE on the last X bars”

  Thanks

  P.S – I really appreciate your help and support, it is amazing!

  

  aland

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  01/16/2019 at 4:34 PM #88833
  Vonasi

  This might be of use:

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

  It comes up as the top item if you type MAE MFE in the search box!

  

  Vonasi

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  01/16/2019 at 5:29 PM #88837
  aland

  Thanks,

  Naturally, I checked it before posting, but it is not exactly what I am looking for, the question is does a pre built indicator exist in the language, like ATR for example or HIGH, LOW etc.

  Otherwise I can code it myself, it just takes longer…

  Thanks again!

  

  aland

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  01/16/2019 at 6:00 PM #88844
  Vonasi

  There is no pre-built indicator or code that provides what you want but coding it wouldn’t be very difficult and a lot of the basic calculations are in what I wrote. You just need to start recording MFE and MAE highest highs and lowest lows distance from TRADEPRICE from the moment a position is opened and then reset it when it is closed.

   

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  05/14/2019 at 9:22 AM #98428
  DJB1974

  What does MAE and MFE stand for please?

  i see them when i am looking at back testing history but havent been able to find out what they mean.

  thanks

  DJ

  

  DJB1974

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  05/14/2019 at 10:46 AM #98449
  Nicolas

  The MAE term stands for “Maximum Adverse Excursion” and refers to the biggest movement against you while you are at market.

  While the MFE (Maxime Favorable Excursion) is the inverse: maximum gain achieved while you are at market.

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  Nicolas

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  06/24/2019 at 1:52 PM #101314
  tatie

  I have been using Probacktest to backtest my trading strategies for over two months now on a daily basis.

  I have recently noticed that the MAE figure on the detailed report does not take into account the max movement against you on the entry bar itself; but then also noticed yesterday night by reviewing a small sample of the winning trades from the detailed report’s closed positions list that the MAE is not really the max price it went against your trade at all. This makes me wonder whether the absolute performance figures and MFE have any bearing….

  Should I trust that the return figure on the overview tab information on the probacktest results is correct?

  I normally use the MAE as an indicator of the size of stop loss required for the strategy, but how accurate is it? can I trust it? please help

  

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  06/24/2019 at 7:19 PM #101340
  GraHal

  tatie wrote:

  a small sample of the winning trades from the detailed report’s closed positions list that the MAE is not really the max price it went against your trade at all.

  I (and I’m sure others?) would love to see examples of what you found??

  I’m not doubting what you say btw.

  

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  05/02/2020 at 9:38 AM #129348
  Paul

  inside a strategy, it shows mae / mfe

   

  if longonmarket then lowestprice=min(tradeprice(1),low) mae=lowestprice-tradeprice(1) if mae>mae[1] then mae=mae[1] endif highestprice=max(tradeprice(1),high) mfe=highestprice-tradeprice(1) if mfe<mfe[1] then mfe=mfe[1] endif endif if shortonmarket then highestprice=max(tradeprice(1),high) mae=tradeprice(1)-highestprice if mae>mae[1] then mae=mae[1] endif lowestprice=min(tradeprice(1),low) mfe=tradeprice(1)-lowestprice if mfe<mfe[1] then mfe=mfe[1] endif endif if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then highestprice=0 lowestprice=close mfe=0 mae=0 endif graph round(mfe) coloured(0,0,255,255) as "Maximum Favorable Excursion" graph round(mae) coloured(255,0,0,255) as "Maximum Adverse Excursion"

  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 34 35 36

  if longonmarket then lowestprice=min(tradeprice(1),low) mae=lowestprice-tradeprice(1) if mae>mae[1] then mae=mae[1] endif   highestprice=max(tradeprice(1),high) mfe=highestprice-tradeprice(1) if mfe<mfe[1] then mfe=mfe[1] endif endif if shortonmarket then highestprice=max(tradeprice(1),high) mae=tradeprice(1)-highestprice if mae>mae[1] then mae=mae[1] endif   lowestprice=min(tradeprice(1),low) mfe=tradeprice(1)-lowestprice if mfe<mfe[1] then mfe=mfe[1] endif endif   if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then highestprice=0 lowestprice=close mfe=0 mae=0 endif   graph round(mfe) coloured(0,0,255,255) as "Maximum Favorable Excursion" graph round(mae) coloured(255,0,0,255) as "Maximum Adverse Excursion"

   

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  05/02/2020 at 11:01 AM #129361
  GraHal

  Above added as Log 212 here …

  
  @Vonasi MAE / MFE Indicator added also as Log 213

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