Potential highest Paper Gain/Loss in Automated Strategy

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01/04/2017 at 5:43 AM #19771 quote
CKW
Participant

Veteran
Hi all,

I modified Nicholas code post-16281 that could probably help to verify the potential highest Paper Gain/Loss in ProbackTest. This is usually used for optimization purpose. Please help to correct my code if wrong.
```
if Not ONmarket then
PotentialProfit = PotentialProfit + HighestProfit
PotentialLoss = LowestProfit + PotentialLoss
floatingprofit = 0
HighestProfit = 0 
LowestProfit = 0
endif

If OnMarket then 
floatingprofit = (((close - positionprice) * pointvalue) * countofposition) / pipsize
Highestprofit = Max(highestprofit,floatingprofit)
LowestProfit = Min(LowestProfit, Floatingprofit)
endif

Graph PotentialProfit coloured (255,0,0)
Graph PotentialLoss coloured (255,0,0)
```
Br,
CKW
01/04/2017 at 9:58 AM #19789 quote

Nicolas
Keymaster

Master

Congratulations, you have successfully calculated the Max Favourable Excursion and the Max Adverse Excursion (MFE/MAE). Which are very important when you plan to improve an already made strategy (calculate the right stoploss for tall trades for example) and/or make optimization.

I didn’t test it, but it seems correct at a first glance.
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Potential highest Paper Gain/Loss in Automated Strategy

ProOrder: Automated Strategies & Backtesting

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CKW @ckw Participant

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This topic contains 1 reply,
has 2 voices, and was last updated by Nicolas
9 years, 2 months ago.

Topic Details

Forum:	ProOrder: Automated Strategies & Backtesting
Language:	English
Started:	01/04/2017
Status:	Active
Attachments:	No files

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