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In the backtester advanced code create custom metric per trade using
this calculation base
MAEpts = MAE/100 * EntryPrice
--
Cheers
Graham Kav
AFL Writing Service
http://www.aflwriting.com
On 07/09/2007, murthysuresh <money@xxxxxxxxxxxxxx> wrote:
> 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.
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