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RE: [amibroker] Re: Reconciling MAE/MFE backtest results


  • Date: Thu, 4 Mar 2010 07:36:51 -0600
  • From: "Richard N Park" <rnpark@xxxxxxxxxxxxx>
  • Subject: RE: [amibroker] Re: Reconciling MAE/MFE backtest results

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I may be misunderstanding your question  but the MAE is MAXIMUM adverse excursion, not TRADE adverse excursion. It calculates the maximum amount the trade was underwater at any time during the trade.

 

 

 


From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of q03237241
Sent: Wednesday, March 03, 2010 11:17 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Reconciling MAE/MFE backtest results

 

 

Thanks Sebastian but going long only didn't help either.

Looking at the individual trades, in the case of longs the backtest MAE seems to show an error when a trade low happens to coincide with on the closing bar.

This system sells at the close of the bar but the MAE calculation appears to ignore if a trade low occurred during the closing bar.

I've tried it with other trade systems as well. It would be interesting to see if anybody else experiences the same problem…..

Regards
Chris

--- In amibroker@xxxxxxxxxps.com, "sebastiandanconia" <sebastiandanconia@...> wrote:
>
> Your system reverses to short on long exits, is that right? (Sell = Short = Cross(StoD,StoK);) Have you checked to see what happens if you just set it to "Buy" and "Sell" so you're just getting the long trades? Maybe the fact that the system is reversing from long to short within the same bar is "confusing" AB?
>
> I don't know for sure that this is it, but it's something to try. (JMO, but I think the best practice is to test long and short systems separately, anyway, just because long and short trades behave differently from each other.)
>
>
> Sebastian
>
> --- In amibroker@xxxxxxxxxps.com, "q03237241" <adsligtd@> wrote:
> >
> > Hi,
> >
> > I have been going cross-eyed with this for days, so I am hoping someone can point me in the right direction.
> >
> > I am trying a system that buys/sells on a stochastic cross. However when I examine the backtest output, I cannot reconcile the MAE% figure with the simulated trade data.
> >
> >
> > Here is the code:
> >
> > //enter at close of bar
> > SetTradeDelays(0,0,0,0);
> > BuyPrice = C;
> > SellPrice = C;
> > ShortPrice = C;
> > CoverPrice = C;
> >
> >
> > //Stochastic indicator
> >
> > Userfriendly = Param("User Friendly Variable",1,1,50,1);
> > periods = Param( "Periods", 15, 1, 200, 1 );
> > Ksmooth = Param( "%K avg", 3, 1, 200, 1 );
> > Dsmooth = Param( "%D avg", 3, 1, 200, 1 );
> > StoD = StochD( Userfriendly*periods , Userfriendly*Ksmooth, Userfriendly*DSmooth);
> > StoK = StochK( Userfriendly*periods , Userfriendly*Ksmooth);
> >
> > //-----------------------------------------------
> >
> > // buy & Sell conditions
> >
> > Buy = Cover = Cross(StoK,StoD);
> > Sell = Short = Cross(StoD,StoK);
> > Buy = ExRem(Buy,Sell);
> > Sell = ExRem(Sell,Buy);
> >
> >
> > Plot(C,"C",colorBlack,styleCandle);
> > Plot( StoD, "StoD", colorBlue, styleLine|styleLeftAxisScale);
> > Plot( StoK,"StoK", colorRed,styleLine|styleLeftAxisScale);
> >
> > ////////////END/////////////////////////////////////
> >
> >
> > As an example, when I run the backtest on ticker SKI.AX I get a long entry @ $1.33 on Jan29 – 2010 with an exit @ $1.31 Feb8. Reported MAE of 1.5%.
> >
> > When I check the chart I get trade open $1.33 and trade low of $1.30 (Feb8) giving a MAE of $0.03c or 2.25%.
> >
> > Checking other trades gives similar results. All the MFEs I have checked seem ok.
> >
> > Does anyone have any pointers for me?
> >
> >
> > Thanks
> > Chris
> >
>



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