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  • Mae MFE Stat CBT

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    Easy TradingSaham
    11 views2 pages
    This document describes how to add the Maximum Favorable Excursion (MFE) date and Maximum Adverse Excursion (MAE) date metrics to the backtest report in Amibroker. It defines a custom processTrade function that calculates the MFE and MAE dates for each trade based on whether it was long or short. This function is then called for each completed trade and open position to add the custom MFE Date and MAE Date metrics.

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    This document describes how to add the Maximum Favorable Excursion (MFE) date and Maximum Adverse Excursion (MAE) date metrics to the backtest report in Amibroker. It defines a custom processTrade function that calculates the MFE and MAE dates for each trade based on whether it was long or short. This function is then called for each completed trade and open position to add the custom MFE Date and MAE Date metrics.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Flag for inappropriate content
    11 views2 pages

    Mae MFE Stat CBT

    Uploaded by

    Easy TradingSaham
    This document describes how to add the Maximum Favorable Excursion (MFE) date and Maximum Adverse Excursion (MAE) date metrics to the backtest report in Amibroker. It defines a custom processTrade function that calculates the MFE and MAE dates for each trade based on whether it was long or short. This function is then called for each completed trade and open position to add the custom MFE Date and MAE Date metrics.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 2

    //https://www.amibroker.

    com/kb/2015/02/04/how-to-add-mae-mfe-dates-to-the-backtest-r
    eport/

    SetCustomBacktestProc( "" );

    function processTrade( trade )


    {
    dt = DateTime();

    SetForeign( trade.Symbol );

    llvDate = Lookup( Ref( dt, - LLVBars( Low, trade.BarsInTrade + 1 ) ),


    trade.ExitDateTime );
    hhvDate = Lookup( Ref( dt, - HHVBars( High, trade.BarsInTrade + 1 ) ),
    trade.ExitDateTime );

    if ( trade.IsLong() )
    {
    maeDate = llvDate;
    mfeDate = hhvDate;
    }
    else
    {
    maeDate = hhvDate;
    mfeDate = llvDate;
    }

    RestorePriceArrays();

    trade.AddCustomMetric( "MFE Date", DateTimeToStr( mfeDate ) );


    trade.AddCustomMetric( "MAE Date", DateTimeToStr( maeDate ) );
    }

    if ( Status( "action" ) == actionPortfolio )


    {
    bo = GetBacktesterObject();

    bo.Backtest( 1 ); // run default backtest procedure

    for ( trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade() )


    {
    processTrade( trade );

    for ( trade = bo.GetFirstOpenPos(); trade; trade = bo.GetNextOpenPos() )


    {
    processTrade( trade );
    }
    bo.ListTrades();
    }

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