MAE and MFE values in the detailed report are wrong

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  • 03/30/2021 at 1:38 PM #165749 quote
    XORANDNOT
    Participant
    Senior

    The MAE and MFE values shown in the detailed report are calculated the wrong way. They should be calculated using the highest HIGH and the lowest LOW since opening of a position, but in reality (at least in v11), they are calculated using the highest CLOSE and the lowest CLOSE. This should be corrected, as it makes quite a difference sometimes.

    And the maximum drawdown and maximum runup values in the optimization reports are still totally off and show meaningless values, after more than 3 months of v11 being released (just to say it once again).

    GraHal thanked this post
    03/31/2021 at 8:46 AM #165794 quote
    Nicolas
    Keymaster
    Master

    Maximum drawdown and maximum runup wrong calculations problem have been fixed already, but still not deployed on IG production servers. Once I get a date, I will tell update this thread.

    MAE and MFE, I made the same conclusion as you, we are in the process of investigation (why Close is used instead of High/Low?).

    03/31/2021 at 8:54 AM #165795 quote
    Nicolas
    Keymaster
    Master

    Finally, seems that the fix for ‘maximum drawdown and maximum runup’ is already live with IG real accounts. If you still encountering wrong calculations, please share them here.

    03/31/2021 at 1:52 PM #165841 quote
    XORANDNOT
    Participant
    Senior

    Thanks. However, no change yet in max drawdown and max runup in the optimization window, at least not in PRT premium with IG.

    See the attached pictures, max drawdown listed in the optimization report (image 1) is still 10 times as big as in reality (image 2). The detailed report (image 3) shows the real values.

    Max runup is off by a factor of about 40 in the optimization report.

    This holds for all systems, not just for this one.

    max-drawdown-1.jpg max-drawdown-1.jpg max-drawdown-2.png max-drawdown-2.png max-drawdown-3.png max-drawdown-3.png
    03/31/2021 at 2:37 PM #165850 quote
    Nicolas
    Keymaster
    Master

    ok let me check something then..

    04/10/2021 at 6:18 PM #166726 quote
    XORANDNOT
    Participant
    Senior

    I just found out that the MAE/MFE error has already been there in v10.3. Please see https://www.prorealcode.com/topic/massive-errors-in-performance-report/#post-166721 for details.

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MAE and MFE values in the detailed report are wrong


Platform Support: Charts, Data & Broker Setup

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XORANDNOT @xorandnot Participant
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This topic contains 5 replies,
has 2 voices, and was last updated by XORANDNOT
4 years, 10 months ago.

Topic Details
Forum: Platform Support: Charts, Data & Broker Setup
Language: English
Started: 03/30/2021
Status: Active
Attachments: 3 files
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