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Custom fitness to eliminate 0 MAE trades in MultiCharts
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)?
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?
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.
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.
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?
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.
