how to code MFE exit

• 01/06/2021 at 2:56 PM #156597
  nonetheless

  I’ve been working on a long-only scalping algo and noticed that in all cases where  MFE = 0 then that trade went all the way to the stoploss.

  So I’m thinking there may be some optimal number of bars (b) after which, if the trade has never been in profit, it may be better to close – something like this:

  IF longonmarket and barindex-tradeindex > b and (MFE = 0) then sell at market endif

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  IF longonmarket and barindex-tradeindex > b and (MFE = 0) then sell at market endif

  but how do I code the MFE part ?

  

  nonetheless

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  01/06/2021 at 4:33 PM #156626
  Monobrow

  if longonmarket then graph entryprice ppc=((close-entryprice)/100) //custom if ppc<-0.2 then sell at market endif endif if shortonmarket then graph entryprice ppc=((entryprice-close)/100) //custom if ppc<-0.2 then exitshort at market endif endif

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  if longonmarket then graph entryprice ppc=((close-entryprice)/100) //custom if ppc<-0.2 then sell at market endif endif if shortonmarket then graph entryprice ppc=((entryprice-close)/100) //custom if ppc<-0.2 then exitshort at market endif endif

  I found this in another thread from “Paul” – might be what you are looking for? Or may give you an idea.

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  nonetheless

  

  Monobrow

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  01/06/2021 at 5:09 PM #156635
  nonetheless

  Monobrow wrote:

  I found this in another thread from “Paul”

  thanks for that, but it doesn’t look like what I’m after. I’m thinking something more like

  if not onmarket then MAXPRICE = 0 endif IF longonmarket then MAXPRICE = MAX(MAXPRICE,close) if barindex-tradeindex > b and MAXPRICE = 0 then sell at market endif endif

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  if not onmarket then MAXPRICE = 0 endif   IF longonmarket then MAXPRICE = MAX(MAXPRICE,close) if barindex-tradeindex > b and MAXPRICE = 0 then sell at market endif endif

  but I don’t think that’s right either … ???

  

  nonetheless

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  01/06/2021 at 7:06 PM #156657
  Roger

  MFE = max favourable excursion right ?

  In this case you could try that if you want to exit at 50% of the MFE :

  (not tested)

   

  level=0.5 IF longonmarket then MAXPRICE = MAX(MAXPRICE,close) mfe=MAX-positionprice trigger=positionprice+mfe*level if barindex-tradeindex > b and mfe > 0 and close<trigger then sell at market endif endif

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  level=0.5   IF longonmarket then   MAXPRICE = MAX(MAXPRICE,close) mfe=MAX-positionprice trigger=positionprice+mfe*level   if barindex-tradeindex > b and mfe > 0 and close<trigger then sell at market endif   endif

   

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  Midlanddave, nonetheless, Florian

  

  Roger

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  01/06/2021 at 7:21 PM #156660
  Dow Jones

  Not tested

  MFE = summation[barindex-tradeindex](positionperf > 0) IF longonmarket and barindex-tradeindex > b and (MFE = 0) then sell at market endif

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  MFE = summation[barindex-tradeindex](positionperf > 0) IF longonmarket and barindex-tradeindex > b and (MFE = 0) then sell at market endif

   

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  Midlanddave, Monobrow, nonetheless

  

  Dow Jones

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  01/06/2021 at 8:40 PM #156668
  nonetheless

  Thanks @roger, that is a useful piece of code but obviously will only work with positions that are in profit. What I am trying to address are long positions that open but fall straight away, never go into profit so that at close the MFE = 0

  @Dow Jones, that is exactly what I was looking for, thanks very much. The code works as expected and gives a small advantage, so it seems the original idea was a good one 😁😁😁

  Must try it on other algos.

  

  nonetheless

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  01/12/2021 at 9:42 AM #157469
  Monobrow

  Hi All

   

  I added this bit of code to an otherwise working Algo last night (which has been running for some time) and it quit the system around 3 bars after the MFE failed to go positive when opening a trade. I didnt keep the error (bah, I will next time) but it was along the lines of “quit due to a negative number”.

   

  MFE = summation[barindex-tradeindex](positionperf > 0) IF shortonmarket and barindex-tradeindex > 24 and (MFE => 0 and MFE <= 6) then Buy 5 perpoint at market endif

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  MFE = summation[barindex-tradeindex](positionperf > 0) IF shortonmarket and barindex-tradeindex > 24 and (MFE => 0 and MFE <= 6) then Buy 5 perpoint at market endif

   

  any ideas? thanks!

   

  

  Monobrow

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  01/12/2021 at 10:26 AM #157478
  nonetheless

  I’m not clear on what you want to achieve here. You want to exit a short position if after 24 bars the MFE is between 0 and 6 ?

  

  nonetheless

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  01/12/2021 at 10:33 AM #157479
  Monobrow

  Not exactly… the algo will have recently opened a short position and if, within 24 bars the MFE is not over 6, i want to reverse that position and go long,

   

  it worked very well in backtest, honest guv.

  

  Monobrow

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  01/12/2021 at 10:36 AM #157480
  PeterSt

  IF shortonmarket and barindex-tradeindex > 24 and (MFE => 0 and MFE <= 6) then

  1	IF shortonmarket and barindex-tradeindex > 24 and (MFE => 0 and MFE <= 6) then

  I will bet your spread that it is not allowed (or unpredictable) to have both conditions on one line. Usually, a compiler/interpreter deals with the rightmost part first, working itself towards the left. Thus make it this :

  IF shortonmarket then IF barindex-tradeindex > 24 and (MFE => 0 and MFE <= 6) then ... ENDIF ENDIF

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  IF shortonmarket then   IF barindex-tradeindex > 24 and (MFE => 0 and MFE <= 6) then     ...   ENDIF ENDIF

  and it will always be fine regarding this aspect.

  So notice that with all on one line, TradeIndex will be undefined (could be -1) when (Short)OnMarket is not true.

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  Midlanddave, nonetheless, Monobrow

  

  PeterSt

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  01/12/2021 at 11:06 AM #157486
  Monobrow

  Thank you so much Peter. Im still new to coding, so this info is very much appreciated 👍

  

  Monobrow

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  01/12/2021 at 6:59 PM #157596
  Vonasi

  IF shortonmarket and barindex-tradeindex > 24 and (MFE => 0 and MFE <= 6) then

  1	IF shortonmarket and barindex-tradeindex > 24 and (MFE => 0 and MFE <= 6) then

  The above is perfectly fine and the code between THEN and ENDIF will be carried out if all four conditions separated by AND are true. It is exactly the same as:

  if shortonmarket then if barindex-tradeindex > 24 then if MFE => 0 then if MFE <= 6 then . . . endif endif endif endif

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  if shortonmarket then if barindex-tradeindex > 24 then if MFE => 0 then if MFE <= 6 then . . . endif endif endif endif

   

  

  Vonasi

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  01/12/2021 at 8:39 PM #157600
  Monobrow

  Vonasi wrote:

  The above is perfectly fine

  Thanks for the info Vonasi. And yes, the code works perfectly in backtest. But it did give me a “negative error” in live today.

   

  anyway… based on what you just said I took a closer look at the trade and at the exit time, the MFE was Zero and the position perf negative, so maybe it didnt like this.

  so… ive added a MAX to the code which doesnt appear to impact performance and will hopefully get rid of the error.

  you guys will make a coder of me yet :0

   

  MFE = MAX(1,summation[barindex-tradeindex](positionperf > 0)) IF shortonmarket and barindex-tradeindex > 24 and (MFE => 0 and MFE <= 6) then Buy 5 perpoint at market endif

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  MFE = MAX(1,summation[barindex-tradeindex](positionperf > 0)) IF shortonmarket and barindex-tradeindex > 24 and (MFE => 0 and MFE <= 6) then Buy 5 perpoint at market endif

   

  

  Monobrow

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  01/13/2021 at 10:33 AM #157619
  Monobrow

  different day, same error 🙁

  works perfectly in backtest, I managed to capture the message today. this code is the only addition to the one that works on live and the one that doesnt.. please help…

   

  MFE = MAX(1,summation[barindex-tradeindex](positionperf > 0)) IF shortonmarket and barindex-tradeindex > 24 and (MFE <= 6) then Buy 5 perpoint at market endif

  1 2 3 4

  MFE = MAX(1,summation[barindex-tradeindex](positionperf > 0)) IF shortonmarket and barindex-tradeindex > 24 and (MFE <= 6) then Buy 5 perpoint at market endif

   

  

  Monobrow

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  01/13/2021 at 10:49 AM #157621
  nonetheless

  instead of a reversal, maybe try separating it into 2 instructions, first exit the short, then enter long ??

  

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