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Hello,
OK, I am sorry for harsh tone of my reply BUT...
how could I possibly help you without knowing basic details.
Let me point out some missing pieces from your e-mail:
>> Trade Long
>> Date 06/09/2007 4:55
You provided the date and time BUT... is it AM or PM?
Is it EST time zone or different one ?
How can I duplicate your setup without knowing the time zone?
(I looked at charts and did not the prices you have pointed out
in the IB backfilled chart, so I *need* time/date AM/PM and time zone
you are in
- remember that IB is using LOCAL computer date time so 4:55 on your
computer
is not 4:55 on mine.
>> Ex. Price 1.36665
>> % chg 0.04%
>> Profit 4.03
>> % Profit 0.04%
>> Contracts 7320.11
>> Position value 10000
>> Cum. Profit 4.03
>> # bars 4
>> Profit/bar 1.01
>> MAE -0.02%
>> MFE 0.04%
>> Scale In/Out 0/0
Why do you think these are wrong figures. In my opinion they are
correct.
As I don't know what time you were using and I can not verify it on
the chart
I need to *assume* now that the highest high since entry was equal to
exit price
which is: 1.36665. Note that it is just assumption since I could not
verify it on true data.
If the above assumption is correct the MFE is correct:
Entry price: 1.36610
Max. Favourable Excursion: 1.36665 - 1.36610 = 0.00055
Now MFE in percent is = 0.00055 / EntryPrice = 0.04026 %
And that's what AB shows.
As to your question: to revert from % to price you would need to
multiply the percent values by entry price and 100. This you can do
after exporting trade list to excel.
Best regards,
Tomasz Janeczko
amibroker.com
--- In amibroker@xxxxxxxxxxxxxxx, "murthysuresh" <money@xxx> wrote:
>
> Tomasz,
> I never said there is a bug. Pl reread my post before jumping to
> conclusions. I wanted to verify if there is a bug and the only way,
i
> can do that is to to extract the actual MFE and MAE values from the
> backtester. Once i have that, i will try to validate if it works
fine
> or if i made a error. My question was <quote> How can i extract
the
> MFE/MAE values instead of % from the backtester to validate it.
> </quote>
>
>
>
> Regards
>
> Seede
>
>
>
> The only question that i have is --- In
> amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@> wrote:
> >
> > I am getting sick and tired of such e-mails.
> > Why don't you assume the reverse, i.e. that bracket trader
> calculation is wrong????
> >
> > Plus you are comparing apples to oranges (percent to point), give
> no info on periodicity you use,
> > using of course WRONG settings in the backtester (see enormous
> contracts number:
> > 7320 EURUSD lots !!!!)
> >
> > There is an article in the KB that you should read first about
> setting up for forex.
> >
> > Best regards,
> > Tomasz Janeczko
> > amibroker.com
> > ----- Original Message -----
> > From: "murthysuresh" <money@>
> > To: <amibroker@xxxxxxxxxxxxxxx>
> > Sent: Thursday, September 06, 2007 10:53 PM
> > Subject: [amibroker] backtester mfe/mae calculation
> >
> >
> > > The backtester provides the mfe and mae in % only. When i
> calculate
> > > it by hand and using the bracketTrader, it provides in value
> which on
> > > further analysis does not transulate into matching % that
> amibroker
> > > provides.
> > > here is the example.
> > >
> > > for eg.
> > > Ticker EUR.USD-IDEALPRO-CASH
> > > Trade Long
> > > Date 06/09/2007 4:55
> > > Price 1.3661
> > > Ex. date 06/09/2007 5:10
> > > Ex. Price 1.36665
> > > % chg 0.04%
> > > Profit 4.03
> > > % Profit 0.04%
> > > Contracts 7320.11
> > > Position value 10000
> > > Cum. Profit 4.03
> > > # bars 4
> > > Profit/bar 1.01
> > > MAE -0.02%
> > > MFE 0.04%
> > > Scale In/Out 0/0
> > >
> > >
> > > Bracket trader and visually looking at buy/sell signals on the
> > > backtester chart provides the MFE and MAE to be
> > > MAE -0.0002
> > > MFE 0.0008
> > >
> > >
> > > I have 4.96 version amibroker. Is this a Bug? How can i extract
> the
> > > MFE/MAE values instead of % from the backtester to confirm it.
> > > regards
> > >
> > > Seede.
> > >
> > >
> > >
> > > Please note that this group is for discussion between users
only.
> > >
> > > To get support from AmiBroker please send an e-mail directly to
> > > SUPPORT {at} amibroker.com
> > >
> > > For NEW RELEASE ANNOUNCEMENTS and other news always check
DEVLOG:
> > > http://www.amibroker.com/devlog/
> > >
> > > For other support material please check also:
> > > http://www.amibroker.com/support.html
> > >
> > > Yahoo! Groups Links
> > >
> > >
> > >
> > >
> > >
> >
>
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
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