MAE and MFE calculator.
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Although this is an indicator I am posting it in this forum as I wrote it really to assist in deciding on stop loss and take profit levels within a strategy (not that I ever use them!)
It is based on long positions only but just reverse the results if you want MAE and MFE for short positions. The MAE and MFE is calculated from the bar open price.
This indicator will calculate the following:
- The all time average MAE and MFE from open price per bar.
- The biggest all time 1 bar MAE and the biggest all time 1 bar MFE.
- The MAE and MFE since the open n bars back.
- The average 1 bar MAE and average 1 bar MFE since the open n bars back.
With this it is easy to check recent market volatility compared to the average and also to decide on stop loss and take profit levels. You could even use the calculations within a strategy to set dynamic levels.
Not sure if it is worthy of the indicator library but I will submit it if Nicolas thinks it is.
Note: just in case anyone does not know – MAE = Maximum Adverse Equity and MFE = Maximum Favourable Equity. Basically how far price moves for or against your position.
[attachment file=77328][attachment file=77329]
n = 12 if barindex <> 0 then mae = mae + (open - low) total = total + 1 mfe = mfe + (high - open) biggestmae = max((open - low),biggestmae) biggestmfe = max((high - open),biggestmfe) recentmae = (open[n] - lowest[n](low)) recentmfe = (highest[n](high) - open[n]) maerec = 0 mferec = 0 for i = 1 to n maerec = maerec + (open[i] - low[i]) mferec = mferec + (high[i] - open[i]) next endif averecentmae = maerec / n averecentmfe = mferec / n avemae = mae / total avemfe = mfe / total return -avemae coloured(128,0,0) as "All Time Average MAE", avemfe coloured(0,128,0) as "All Time Average MFE", -biggestmae coloured(128,0,0) as "Biggest Ever 1 Bar MAE", biggestmfe coloured(0,128,0) as "Biggest Ever 1 Bar MFE", -recentmae coloured(128,0,0) as "MAE Since n Bar Open", recentmfe coloured(0,128,0) as "MFE Since n Bar Open", -averecentmae coloured(128,0,0) as "Average Recent MAE", averecentmfe coloured(0,128,0) as "Average Recent MFE"An interesting way to use these MAE and MFE values is with bands based on the average of them over a look back period of n.
[attachment file=77482]
The above is a weekly chart. The bands have been shifted so that the values for the current forming bar are those at the close of the previous bar. It can then be easily seen if price is near to the average MAE or MFE which can be areas to enter a trade or get out of a trade. I have added a multiple so that you can move the bands to for example 1.5 times MAE and MFE if you want to.
defparam calculateonlastbars = 200 n = 6 multiple = 1.0 maerec = 0 mferec = 0 for i = 1 to n maerec = maerec + (open[i] - low[i]) mferec = mferec + (high[i] - open[i]) next averecentmae = close - ((maerec / n) * multiple) averecentmfe = close + ((mferec / n) * multiple) return averecentmae[1] coloured(128,0,0) as "Average Recent MAE", averecentmfe[1] coloured(0,128,0) as "Average Recent MFE"[attachment file=”MAE and MFE bands.itf”]
…and here is an image of a daily strategy that buys when price drops to an average of MAE (done with MTF). It seems like there is some potential there.
[attachment file=77484]
GraHal, Roberto S., Berra, kj1988 and Edmond thanked this post
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Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 08/01/2018 |
| Status: | Active |
| Attachments: | 6 files |
