how to code MFE exit

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

  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

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  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

   

  

  Monobrow

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  01/13/2021 at 1:19 PM #157647
  Monobrow

  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

   

  

  Monobrow

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  01/13/2021 at 8:06 PM #157696
  Dow Jones

  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

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  Monobrow

  

  Dow Jones

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

  Thanks DJ, i’ll try that.

  

  Monobrow

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