Strategy MAEX – experiment with MFE & MAE
-
Five minutes to explain what I said before, on a picture, and why for me it’s better to use variables a and b, or sometimes only a
When we use MAE (same thing with MFE), as you see on the picture if we put a cutoff at -1500 USD for example, we lose all winning trades in the blue rectangle and we still have losing trades in the yellow rectangle
And if we use a cutoff at -3000 USD you have effectively all winning trades, but all losing trades too
That’s why, for me, it’s better to use a variable, to do a backtest, and choose the best compromise
MAE/MFE works ONLY when it can separate quite all winning/losing trades who is very very rare
And finally, the more complex is the code, the more curvefitting we will have
Have a nice day @Paul
No @Paul I use one variable to determine the better compromise in the backtest as you can see on the picture (Stop at 26, 28, 30, pip and so on..)
The backtest determine the better stop not me and not visual
Never more than 3 variables in all the algo and the more simple it is the less curvefit we will have
We need always remember that it is like a polynomial regression on gain (More variable=more curvefit=bad OOS results on mid/long term and more often on small term)
Have a nice evening Paul
Paul thanked this postHi Paul, here’s a v11 update – optimized 75/25 so about 8 months OOS. I tried both ATR and % TS (4MM pc), not a huge difference but I think the ATR gives a better curve. VRT is uncommonly good, so that’s encouraging.
Best regards and thanks again for sharing this.
GraHal, Monobrow, Paul and Midlanddave thanked this post
- You must be logged in to reply to this topic.
Summary
This topic contains 82 replies,
has 14 voices, and was last updated by 
2 years, 7 months ago.
Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 10/26/2020 |
| Status: | Active |
| Attachments: | 37 files |
