Test for lost trades

• 05/24/2016 at 9:56 AM #7857
  davidp13

  Hi. Is there a method where one can fine the trades that actual were in profit, but then the market turned around and against the trades direction to only end up in a loss? I know the report shows run up, but I would like to manually inspect these.

   

  Thanks

  

  davidp13

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  05/24/2016 at 11:57 AM #7867
  Nicolas

  Hi. What you are talking about is the MFE (Maximum Favorable Excursion) = what was the maximum profit that the trade had before the trade closed.

  I think that it can coded easily, let me think about it 🙂

  

  Nicolas

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  05/24/2016 at 12:05 PM #7868
  Nicolas

  Done.

  Please find below the code to add to your strategy.

  //Maximum Favorable Execution (MFE) floatingprofit = (((close-positionprice)*pointvalue)*countofposition)/pipsize MFE = MAX(MFE,floatingprofit) GRAPH MFE as "MFE" if not onmarket then MFE = 0 endif

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  //Maximum Favorable Execution (MFE) floatingprofit = (((close-positionprice)*pointvalue)*countofposition)/pipsize MFE = MAX(MFE,floatingprofit) GRAPH MFE as "MFE" if not onmarket then MFE = 0 endif

  Please keep in mind that the GRAPH instruction has to be removed for ProOrder to work. It can only draw the MFE in ProBacktest.

   

  

  Nicolas

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  05/24/2016 at 7:01 PM #7908
  davidp13

  Brilliant thanks.

  Now how can one use this information effectively? Any idea?

  

  davidp13

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  05/24/2016 at 7:03 PM #7909
  Nicolas

  Maybe exit at x% percent below the higher level of the MFE? to not let too much money on the table.. You can play with lot of things with the variable MFE 🙂

  

  Nicolas

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  05/24/2016 at 10:36 PM #7940
  davidp13

  Question is how do one define the highest level? there might be more higher levels coming? like with the GRID strategy…

  

  davidp13

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  05/25/2016 at 9:01 AM #7951
  Nicolas

  Defining what would be the future would be a great improvement in my trading, and in yours too I believe 🙂

  That’s a very good question! It depends on your strategy… Or maybe don’t let more than 50% retracement of the highest MFE occurs? <- good idea.

   

  

  Nicolas

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  05/25/2016 at 2:01 PM #7999
  davidp13

  i have tried this, but it seems to make no difference.

  floatingprofit = (((close-positionprice)*pointvalue)*countofposition)/pipsize MFE = MAX(MFE,floatingprofit) IF MFE=MFE[1]*0.8 THEN SELL AT MARKET ENDIF

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  floatingprofit = (((close-positionprice)*pointvalue)*countofposition)/pipsize MFE = MAX(MFE,floatingprofit)   IF MFE=MFE[1]*0.8 THEN SELL AT MARKET ENDIF

   

  

  davidp13

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  05/25/2016 at 2:14 PM #8002
  Nicolas

  Better test if the actual MFE is inferior of the previous one, not if it has the exact same value (which is almost quiet impossible).

  floatingprofit = (((close-positionprice)*pointvalue)*countofposition)/pipsize MFE = MAX(MFE,floatingprofit) IF MFE<MFE[1]*0.8 THEN SELL AT MARKET ENDIF

  1 2 3 4 5 6

  floatingprofit = (((close-positionprice)*pointvalue)*countofposition)/pipsize MFE = MAX(MFE,floatingprofit)   IF MFE<MFE[1]*0.8 THEN SELL AT MARKET ENDIF

   

  

  Nicolas

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