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Tomasz
Your note gave me the right perspective. I use IB on a 1 minute
timeframe datasournce when i use the backtester. since i also use
the default backtester, it uses the 1 minute bar close for entry and
exits. There is usually good price movement within the 1 minute bar.
In comparision, the bracket trader data was realtime as the trade was
made in IB realtime and it provided MFE and MAE based on a finer data
resolution- close to realtime(alleast few seconds).
So when i compare the entry and exit prices, they dont match between
these 2 apps because of the resolution of the datasource I AM USING
are different in each case.
One thing that i observed is that the % resolution was to 2 decimal
places. This would not be significant in Stocks. But in Forex, the
pip value is trading in 4 decimal places. The significance can be
related as below
Scenario #1:
GBPUSD BUY 2.0258 SELL 2.0253 MFE 0.0007
MFE IN % =100* .0007/2.0253 = 0.034562781 %
Backtester would round it to .03
Scenario #2: <notice there is a 1 pip difference between the MFE
values>
GBPUSD BUY 2.0258 SELL 2.0253 MFE 0.0008
MFE IN % =100* .0008/2.0253 = 0.039500321 %
Backtester would round it to .04
1 pip difference can make a difference in my analysis because of the
rounding factor
The question is, "IS it possible to use 4 number decimal in the %
results provided by backtester?"
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx>
wrote:
>
> 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@xxx>
> 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@xxx>
> > 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.
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SUPPORT {at} amibroker.com
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
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For other support material please check also:
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