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Thanks Graham.
--- In amibroker@xxxxxxxxxxxxxxx, Graham <kavemanperth@xxx> wrote:
>
> 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@xxx> 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@>
> > 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@>
> > > 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@>
> > > > 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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