how to code MFE exit

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01/13/2021 at 11:08 AM #157626 quote
Monobrow
Participant

Senior
like this the correct/best way to do it?
```
MFE = MAX(1,summation[barindex-tradeindex](positionperf > 0))
IF shortonmarket and barindex-tradeindex > 24 and MFE <= 6 then
Exitshort at market
Buy 5 perpoint at market
endif
```
01/13/2021 at 1:19 PM #157647 quote

Monobrow
Participant

Senior

To add…. Im not sure it is anything to do with the entry/exit as the error happens on the 3rd bar. so no where near when it should be reversing.

ive attached the screenshots of when it quit – 0920

also current MFE value is 1

current positionperf is -0.00119

any ideas appreciated as this change is a +25% increase to algo. again no issues in backtest, just on Live, IG, DAX 1MIN DFB

negative-error.jpg

01/13/2021 at 8:06 PM #157696 quote

Dow Jones
Participant

Veteran

Try add check that barindex – tradeindex > 0

Back test not reliable on this matter as it cannot detect division by zero so I’m not surprise if it cannot detect summation with negative value too

Monobrow thanked this post

01/13/2021 at 8:28 PM #157699 quote

Monobrow
Participant

Senior

Thanks DJ, i’ll try that.
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how to code MFE exit

ProOrder: Automated Strategies & Backtesting

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This topic contains 18 replies,
has 6 voices, and was last updated by Monobrow
5 years, 1 month ago.

Topic Details

Forum:	ProOrder: Automated Strategies & Backtesting
Language:	English
Started:	01/06/2021
Status:	Active
Attachments:	2 files

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