|
PureBytes Links
Trading Reference Links
|
Hello,
Yes you can generate MAE/MFE in points and with any number of decimal digits.
Appropriate code looks as follows.
/* First we need to enable custom backtest procedure and
** tell AmiBroker to use current formula
*/
SetCustomBacktestProc("");
/* Now custom-backtest procedure follows */
if( Status("action") == actionPortfolio )
{
bo = GetBacktesterObject();
bo.Backtest(1); // run default backtest procedure
SumProfitPerRisk = 0;
NumTrades = 0;
// iterate through closed trades first
for( trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade() )
{
trade.AddCustomMetric("MAE $", StrFormat( "%.4f", 100 * trade.GetMAE() / trade.EntryPrice ) );
trade.AddCustomMetric("MFE $", StrFormat( "%.4f", 100 * trade.GetMFE() / trade.EntryPrice ) );
}
bo.ListTrades();
}
// your trading system here
Buy=....
Sell=....
Also note that MFE calculation for long trade is is:
(highest high price since entry) - (entry price)
and MAE is:
(lowest low price since entry) - (entry price)
And the calculation includes High-Low range of all bars since entry bar till exit bar.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "murthysuresh" <money@xxxxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Friday, September 07, 2007 5:02 AM
Subject: [amibroker] Re: backtester mfe/mae calculation
> 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.
>
> 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
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|