Potential highest Paper Gain/Loss in Automated Strategy

• 01/04/2017 at 5:43 AM #19771
  CKW

  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)

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  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

  

  CKW

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  01/04/2017 at 9:58 AM #19789
  Nicolas

  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.

  

  Nicolas

  Keymaster

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