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Tomasz
Thank you very much. I appreciate your help and the cut/paste code
snippet that i can use now.
Regards
Seede
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx>
wrote:
>
> 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@xxx>
> 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@>
> > 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.
> >> >>
> >> >>
> >> >>
> >> >> 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
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