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Hi Brian,
there may be a simpler solution, can't think of it right now.
This definitely can be done in low level backtesting, eg: track/update
your personalized MAE/MFE at every bar in a set of variables
(varset/varget, one per symbol) from the bar after entry and onwards,
and after invoking
bo.ProcessTradeSignals( bar );
you can scan all your trades (I wish TJ could give us a more efficient
way, like scanning from last closed trade and backwards...) and add a
custom metric to those that closed during the current bar, with the
proper value.
Hope it's correct, let me know if this is clear and fits you
neuro
On 9/4/05, coba702002 <coba702002@xxxxxxxxx> wrote:
> I am trying to figure out a way to NOT include (h-L) activity in the
> MAE/MFE calcs,since i enter on bar close and don't want the entry bar
> (H-L) to be part of the calc. Is there a way around this in the low
> level backtester custom metrics code. I have tried sooooo many things
> and cannot get anything to work, i have pulled most of my hair out so
> before i lose it all please help :))
>
> Trade drawdown (as well as MAE and MFE) is different because it
> *includes* intraday activity (H-L)
>
> thanks in advance
> Brian
>
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