How come PositionPerf >MFE?

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01/06/2022 at 12:10 PM #184747 quote

Khaled
Participant

Veteran

Hello everyone,

May be something I didn’t understand correctly about MFE, but I’m struggling to understand how a position performance on backtest can be greater than the MFE, which is by definition the Maximum Favourable Equity.

I checked the position size. For the last trade it’s 1.7 lots and the second to last one it’s 1.6 lots. So, if I take last trade 145/1.7=85 <> 80 shown on the backtest. Second to last trade (5 jan. 15:35) : 187/1.6=116 <> 74.

Is it a sign that my System is unstable?

Thanks in advance for your help

Perf-vs-MFE-orders.jpg Perf-vs-MFE.jpg

01/06/2022 at 1:28 PM #184753 quote

PeterSt
Participant

Master

Hi Khaled, might it help you, in a list of 182 closed trades on 24 trading days, I found 5 of those myself. They are all from the same date (Dec. 16).
I looked into a couple of these trades and I don’t see anything special about them.
The first one going odd is the first started trade of that day. Maybe a glitch ?

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01/06/2022 at 7:37 PM #184782 quote

Khaled
Participant

Veteran

Thanks Peter for sharing your insight!

01/14/2022 at 9:04 AM #185400 quote

Nicolas
Keymaster

Master

I spotted a problem in MFE/MAE calculation last year, but I thought it were solve since then. I will check something and let you know. Please ping me if you have no news quickly.

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01/15/2022 at 1:01 PM #185558 quote

GraHal
Participant

Master

MFE was wrong in April 2018 and it appears has gone wrong again or never got fixed?

https://www.prorealcode.com/topic/max-fav-excursion-mfe/

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01/15/2022 at 3:21 PM #185568 quote

Khaled
Participant

Veteran

There are basic errors in ProOrder that are scary. Cannot trust the whole system. I’ve a system where there is barely one division, which cannot be “division by zero”, but still get the error message from time to time. I think someone wrote on this forum that the only valid backtest is to test your System live in Demo. It remains a good charting and manual trading plateforme though and I’m not sure the competition is better.
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