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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.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "Tomasz Janeczko" <groups@xxxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Thursday, September 06, 2007 11:22 PM
Subject: Re: [amibroker] backtester mfe/mae calculation
>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@xxxxxxxxxxxxxx>
> 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:
> 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:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
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