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Custom fitness to eliminate 0 MAE trades in MultiCharts
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Custom fitness to eliminate 0 MAE trades in MultiCharts

  #1 (permalink)
Site Administrator
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Custom fitness to eliminate 0 MAE trades in MultiCharts

Hi,

I am searching for a custom fitness that I can enter that will eliminate 0 MAE trades (trades whose total drawdown is equal to commission+slippage only).

Does anyone have suggestions? Is the custom fitness section documented (have not seen it)?

Mike

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  #2 (permalink)
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Hi Mike
Not that Im aware of but on a similar note, i was going to look at the excel export and the MAE/MFE and do some analysis on these ie what is the absolute max values, 1 & 2 standard deviations of these values.
I was going to add these to my summary report.
So i guess with the excel file you could obtain the information you seek?

Neil

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  #3 (permalink)
Elite Member
Nuremberg, Germany
 
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Big Mike View Post
Hi,
Is the custom fitness section documented (have not seen it)?
Mike

Not much information on custom fitness. If you don't know it yet:

Custom Criteria Optimization - MultiCharts

SetCustomFitnessValue - MultiCharts

And have a look at the Signal !optimize by sharpe ratio!

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  #4 (permalink)
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NW27 View Post
Hi Mike
Not that Im aware of but on a similar note, i was going to look at the excel export and the MAE/MFE and do some analysis on these ie what is the absolute max values, 1 & 2 standard deviations of these values.
I was going to add these to my summary report.
So i guess with the excel file you could obtain the information you seek?

Neil

Sent from my GT-I9100T using Tapatalk 2

Yes, but it is not practical. I know, because I've been doing it. The entire optimization is a waste of time because I don't want these trades to be "cherry picked". I am looking through 2+ years of backtests with 50,000+ trades. I am finding that in many cases a small percentage (say 5-10%) of trades are 0 MAE, yet they are making up over 50% of profits. I don't like this and want those thrown out of the optimizer.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

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  #5 (permalink)
Site Administrator
Manta, Ecuador
 
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swz168 View Post
Not much information on custom fitness. If you don't know it yet:

Custom Criteria Optimization - MultiCharts

SetCustomFitnessValue - MultiCharts

And have a look at the Signal !optimize by sharpe ratio!

Yes but there is no documentation on the reserved words supported. So it is impossible to build a function without knowing the reserve words supported.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
 
  #6 (permalink)
Elite Member
London
 
Futures Experience: Beginner
Platform: MultiCharts
 
Posts: 230 since Nov 2010
Thanks: 10 given, 20 received

JUust a simple question.
Exatly could you explain exctly what is MAE and how to understand a report of multichrts when you see MAE value?
Why is bettere have MAE = 0 ?

COuld you post a piece of strategy and report with comment to explain us wht is the impact on trading strategy?

My best.

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  #7 (permalink)
Site Administrator
Manta, Ecuador
 
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Platform: My own custom solution
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Posts: 46,240 since Jun 2009
Thanks: 29,357 given, 83,238 received


bomberone1 View Post
JUust a simple question.
Exatly could you explain exctly what is MAE and how to understand a report of multichrts when you see MAE value?
Why is bettere have MAE = 0 ?

COuld you post a piece of strategy and report with comment to explain us wht is the impact on trading strategy?

My best.

Click on the word MAE above for an explanation.

The impact is that I have found the optimizer is attracted to 0 MAE trades by default, and I believe 0 MAE trades are extremely unlikely to be repeated in a live cash trade, so I want to de-emphasize them in the backtest.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote

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