MAE and MFE values in the detailed report are wrong

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Viewing 6 posts - 1 through 6 (of 6 total)
  • #165749

    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).

    1 user thanked author for this post.
    #165794

    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?).

    #165795

    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.

    #165841

    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.

    #165850

    ok let me check something then..

    #166726

    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.

Viewing 6 posts - 1 through 6 (of 6 total)

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