Calculate entry and exit accuracy using MAE and MFE values

Please add an entry and exit accuracy calculation for strategies:



See:
https://strategyquant.com/forum/topic/4633-better-use-of-mae-and-mfe-in-sq4/#post-137028



Some details on what is required to analyse entry and exit fitness:


http://www.automated-trading-system.com/e-ratio-trading-edge/



Example calculation:

Assume the following:
- Enter long at price of 100
- Market moves down to a price of 90
- Market moves up to a price of 130
- Exit at a price of 110

Entry Efficiency is Calculated as:

(maximum price seen - entry price) / (maximum price seen - minimum price seen)
= (130 - 100) / (130 - 90)
= 75%
= The entry took 75% of the trade range

Exit Efficiency is Calculated as:

(exit price - minimum price seen) / (maximum price seen - minimum price seen)
= (110 - 90) / (130 - 90)
= 50%
= The exit took 50% of the available trade range

Total Efficiency is Calculated as:

(exit price - entry price) / (maximum price seen - minimum price seen)
= (110 - 100) / (130 - 90)
= 25%
= The trade represented only 25% of the trade range

   • The formulas are reversed for short





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  • Votes +3
  • Project Extending SQ
  • Type Feature
  • Status New
  • Priority Normal

History

m
#1

mikeyc

26.11.2020 10:49

Task created

m
#2

mikeyc

26.11.2020 10:49
Voted for this task.
k
#3

Karish

26.11.2020 10:49
Voted for this task.
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#4

tnickel

10.12.2020 23:27
Voted for this task.
t
#5

tnickel

10.12.2020 23:27
myfxbook have this feature too, I think it is a fine feature
AT
#6

AngelTalavera

29.12.2020 22:29
Voted for this task.
IH
#7

clonex / Ivan Hudec

07.01.2021 20:02
Here are some of them: https://strategyquant.com/codebase/page/2/
E
#8

Emmanuel

15.12.2021 19:43
Voted for this task.

Votes: +3

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