How can I plot/analyze MFE and MAE for MT4 Backtests? | Forex Factory

Options

Permalinks
Print Thread

Similar Threads

Script/Indicator for MFE/MAE 1 reply

MFE/MAE analysis 15 replies

Tracking MAE & MFE for MT4 backtest 3 replies

MAE and MFE analysis to optimize SL and TP 0 replies

MFE & MAE in backtesting 6 replies

How can I plot/analyze MFE and MAE for MT4 Backtests?

  • #1
  • First Post: Jul 4, 2020 4:45pm Jul 4, 2020 4:45pm
Hi all,

I'm trying to refine my MT4 EA, and need to plot MFE / MAE for my backtests so I can use the information to improve my stop loss logic.

Are there any suggestions on how to do this?

I have looked into tools like QuantAnalyzer, but it doesnt seem to have access to such information (drawdown per trade, etc) in the imported report, so MAE and MFE arent available.
  • #2
  • Jul 5, 2020 10:19am Jul 5, 2020 10:19am
Use this logic https://www.mql5.com/en/articles/1492 and Excel.
It takes blood, sweat and enough tears to wash away the blood.
  • #3
  • Jul 5, 2020 10:56am Jul 5, 2020 10:56am
Quoting emmzett
Use this logic https://www.mql5.com/en/articles/1492 and Excel.
Thanks for your reply, but unfortunately this isn't as helpful as you might have thought.

The article you shared is great but doesn't explicitly call out any logic that I can see.

You mention using Excel, and even though I love Excel, it is only as useful as the source data. The only data that we have is at the end of the backtest, which is not enough. The article you shared explains this perfectly:

  1. Looking at final trade results, we cannot draw any conclusions about whether protective stops (Stop Loss) are available or whether the profit fixation is effective. We only see the position opening date, the closing date and the final result - a profit or a loss. This is like judging about a person by his or her birth and death dates.

I believe the price data needed for MFE/MAE would have to be deliberately captured while the trades are open.

There should ideally be an indicator for plotting MFE/MAE....

  • #4
  • Edited 12:10pm Jul 5, 2020 11:59am | Edited 12:10pm
Quoting kasinath
{quote} Thanks for your reply, but unfortunately this isn't as helpful as you might have thought...I believe the price data needed for MFE/MAE would have to be deliberately captured while the trades are open...
You are absolutely right and I'm sorry that I can only give you hints instead of ready-made solutions. Capturing the data I intentionally left to you as requirements of traders are too different to advise/provide a solution that fits all. Let me explain a bit.

The data that needs to be captured and the complexity of the capturing itself depends very much on the strategy and the timeframe in question. A tick strategy following price action rules would need to monitor intra-bar movements (way more complex) whereas a strategy opening/closing positions only on BarOpen could record the data at the ned of each bar or even at the end of the test. A strategy on M1 would possibly be happy with OHLC data of M1 (the accuracy compared to tick data is marginally lowered), whereas the same strategy recording OHLC data of H4 or D1 would probably be much useless. So it all depends what you do and what you need.

It is for this lack of built-in functionality that I sayed elsewhere "MT4/5 doesn't provide the numbers needed". We are forced to find and to implement solutions by ourself. I did this implementation for intra-bar movements in my framework, and I did it for my requirements. Your's will be different, so I can't recommend my solution to everyone.

Imho using bar end data when testing higher timeframes is not very helpful. A defined drawdown rule cannot not only be checked at the end of the day. Likewise the broker doesn't wait with his margin call until the bar closes. But checking runup/drawdown on each tick is resource-consuming. Therefore I moved the whole logic to my MT4Expander DLL as doing it in MQL slows down testing too much. Doing it directly in C++ does not cause any noticable delay.

Each test at the begin calls Test_StartReporting(). For each opened/closed order the resulting position is registered by calling Test_onPositionOpen() and Test_onPositionClose(). At the end of the test Test_StopReporting() is called which in turn generates the needed trade logs with accumulated AE/FE data. The data is automatically saved to a text file in Test_SaveReport(). This logfile then may be analyzed in e.g. Excel (I have another solution for that).

What I did fits my very specific requirements and should only give you a hint about the possible direction. By no way I claim that my approach is the only one.
General rule: Look for a more simple approach, a better software or implement things by yourself.

C++ header file: header/lib/tester.h
MQL4 header file: mql4/include/rsfExpander.mqh

edit: In my framework each order log entry looks like a JSON record, including runup and drawdown in pip. Format: src/struct/rsf/Order.cpp
It takes blood, sweat and enough tears to wash away the blood.
  • #5
  • Jul 5, 2020 4:45pm Jul 5, 2020 4:45pm
Quoting kasinath
...There should ideally be an indicator for plotting MFE/MAE...
To add to my previous comment: Analyzing PL distribution involves two tasks.

  1. Collecting source data which is covered by my above reply.
  2. Visualizing the collected data. MetaTrader is not capable of rendering arbitrary dynamic charts. It supports just a time and a price axis extending from left to right and bottom to top. Neither does it support axes extending from rigth to left nor axes with negative values. But distribution visualization requires exactly that. This is one main reason there is no indicator for plotting MFE/MAE. Another reason is that the collected data cannot be displayed as part of the test. Tests offer no UI for additional charting, and charting in/into an existing price chart (VisualMode=On) is not possible. So another charting application is needed, therefore my advice to use Excel.

It takes blood, sweat and enough tears to wash away the blood.
  • #6
  • Edited Jul 6, 2020 1:47am Jul 5, 2020 9:00pm | Edited Jul 6, 2020 1:47am
Quoting emmzett
{quote} You are absolutely right and I'm sorry that I can only give you hints instead of ready-made solutions. .....What I did fits my very specific requirements and should only give you a hint about the possible direction....
Wow. These last two posts offer amazing insight, and your code is *exactly* what I was searching for.
It's unfortunate that MT has these limitations, I had just assumed there was a way to chart outside the price chart. Looks like Excel it is!

Thanks a LOT for this. You've gone above and beyond in your reply, giving me much more than hints, and even something tangible I can work with.

I'll have to dust off my CPP hat, but I should be able to navigate this code without any help.

One very basic/trivial question I have (an embarrassing question even): how do you deploy your compiled code? Once you have the DLL, how do you use it in MT4? All i've ver done is *.mq4/mqh → *.ex4 → loading in MT4.
  • #7
  • Jul 5, 2020 9:55pm Jul 5, 2020 9:55pm
Quoting emmzett
{quote} Therefore I moved the whole logic to my MT4Expander DLL as .....
Going through your code on github, and this is brilliant work, @emmzett. Much of what you have done here is exactly what the EA-building community needs.

This kind of stuff is gold for people like me: new to FX and MT4, but with a background in building software, looking for libraries and tools to build proper frameworks and optimize EA workflows. I'm on the hunt for things like this to improve my processes (EA design, development, testing, deployment, management).

This snowroller alone has opened my mind up to logic patterns I can use to improve my EA.

Bravo, sir. And thank you.
  • #8
  • Edited 10:43am Jul 6, 2020 10:17am | Edited 10:43am
Quoting kasinath
{quote} Wow. These last two posts offer amazing insight, and your code is *exactly* what I was searching for. It's unfortunate that MT has these limitations, I had just assumed there was a way to chart outside the price chart. Looks like Excel it is! Thanks a LOT for this. You've gone above and beyond in your reply, giving me much more than hints, and even something tangible I can work with. I'll have to dust off my CPP hat, but I should be able to navigate this code without any help. One very basic/trivial question I have (an embarrassing question...
Thank you for the kind words.

There is no big deployment. The C++ project has a post-build-event configured, the script which is triggered by this event copies the generated file over to the MT4 library folder (see the Expander's README).

Using it in MT4 is just an #include of the header, and then you can use in MQL whatever DLL function you want by simple "#import" statements. Good for people with MathLab libraries...

edit: A working version of the compiled DLL is already included in the framework (the Expander project is on Github just for versioning and documentation). There are other DLLs as well: mql4/libraries. Here I especially want to recommend QuickChannel from FxBlue for communication between MetaTrader and other programs.
It takes blood, sweat and enough tears to wash away the blood.
  • #9
  • Jul 6, 2020 10:37am Jul 6, 2020 10:37am
Quoting emmzett
{quote} You can load and use in MQL whatever DLL functionality you want by simple "#include"s. Good for people with MathLab libraries...
. I had no idea.

Quoting emmzett
{quote} There are other DLLs as well: mql4/libraries. Here I especially want to recommend QuickChannel from FxBlue for communication between MetaTrader and other programs.
Wow. I just read up on QuickChannel and I am most definitely going to be using it.

These will take my workflow to a new level. I cannot thank you enough!
  • #10
  • Jul 6, 2020 6:38pm Jul 6, 2020 6:38pm
Quoting emmzett
{quote} To add to my previous comment: Analyzing PL distribution involves two tasks. Collecting source data which is covered by my above reply. Visualizing the collected data. MetaTrader is not capable of rendering arbitrary dynamic charts. It supports just a time and a price axis extending from left to right and bottom to top. Neither does it support axes extending from rigth to left nor axes with negative values. But distribution visualization requires exactly that. This is one main reason there is no indicator for plotting MFE/MAE. Another reason...
Emmzett,

I have been unable workout this then you come to rescue.I have been looking for MFE/MAE or profit and loss distribution indicator per bar https://www.forexfactory.com/showthr...3#post13022483 and https://www.forexfactory.com/showthr...8#post13023138

I am also looking for Entry Efficiency which is a regular feature in Ninjatrader https://ninjatrader.com/support/help...ncy_graphs.htm
I think I can manage to calculate this in excel since the calculation is maximum price seen - entry price) / (maximum price seen - minimum price seen)

Unlike Kasinath I am not a coder but experienced trader and I am not asking you for ready-made solutions :how do you collect the profit and loss distribution bar by bar? After you collected do you convert the data into excel?How does the process work?Maybe I am asking the same question twice.
  • #11
  • Jul 7, 2020 12:21am Jul 7, 2020 12:21am
This would be pretty easy to solve with pandas and MT5. You could pass the MT4 HTML report to pandas which would automatically parse it. Then you would grab all the tick data for the time range of the report using MT5 and dump it into a dataframe. Then you'd simply use the min and Max tick for the range of the trade, and then finally pass it to the profit calculator which will give accurate profit calcs based on the deposit currency of the account.
  • #12
  • Jul 7, 2020 3:33am Jul 7, 2020 3:33am
Quoting Nicholishen
This would be pretty easy to solve with pandas and MT5. You could pass the MT4 HTML report to pandas which would automatically parse it. Then you would grab all the tick data for the time range of the report using MT5 and dump it into a dataframe. Then you'd simply use the min and Max tick for the range of the trade, and then finally pass it to the profit calculator which will give accurate profit calcs based on the deposit currency of the account.
Yes. Doing the same in the EA on every tick except that I intentionally use pip as unit for analysis. Converting it to money terms distorts a clear picture and would make tests non-comparable.
It takes blood, sweat and enough tears to wash away the blood.
  • #13
  • Jul 7, 2020 3:50am Jul 7, 2020 3:50am
Quoting patara
...I have been unable workout this then you come to rescue.I have been looking for MFE/MAE or profit and loss distribution indicator per bar https://www.forexfactory.com/showthr...3#post13022483 and https://www.forexfactory.com/showthr...8#post13023138...
If I understand you correctly you want to chart the PL curve per position. To my knowledge there is no desktop application in the world capable of doing that. I know some online trading services offering little PL charts per position: Myfxbook and Tradervue. The reason there are online services but no desktop apps is simple. To calculate the required data you need access to exact and fine-granular history (M1). This history may or may not exist in desktop apps. So you would have a feature which sometimes work and sometimes not. No serious developer would waste time on such immature specification. For online services this is no issue as a complete and always up-to-date history is precondition for the existence of the service.

Quoting patara
...how do you collect the profit and loss distribution bar by bar? After you collected do you convert the data into excel?How does the process work?...
The "how" should be clear by now. You write the data to a CSV file and open it in Excel. For a start that's sufficient. There are smarter ways (e.g. empty but predefined Excel sheets which can be filled with data programmatically) but that's a different skill level.
It takes blood, sweat and enough tears to wash away the blood.
  • #14
  • Jul 7, 2020 5:19am Jul 7, 2020 5:19am
Quoting Nicholishen
This would be pretty easy to solve with pandas and MT5... .
Nice one Nicolishen, I didn't know about pandas before now. adding to my toolkit. thanks. I also came across your github a few days ago, and will be using your MQL addons for VSCode. Brilliant work, man!

Quoting emmzett
{quote} ... I intentionally use pip as unit for analysis. Converting it to money terms distorts a clear picture and would make tests non-comparable.
+1 to this. Seems logical.

QQ for you folks while I have your attention: Do you recommend I double down on MQL4/MT4 or migrate to MQL5/MT5?
I'm about 3 months into building my EA, but I'm at a point where i can pause my iterative development, and migrate from MQL4 ->MQL5 / MT5. I was originally going to do this in order to run cloud optimizations and save time (my strategy was based on running massive optimizations -- and encouraging overfitting), but now I'm not sure if i need to.

Based on your experience, if you were a developer at a crossroads like I am who is looking to ramp up his workflow and output, would you recommend a pivot to MQL5? Or carry on with MQL4 and MT4?
  • #15
  • Jul 7, 2020 6:55am Jul 7, 2020 6:55am
Quoting kasinath
{quote} Nice one Nicolishen, I didn't know about pandas before now. adding to my toolkit. thanks. I also came across your github a few days ago, and will be using your MQL addons for VSCode. Brilliant work, man! {quote} +1 to this. Seems logical. QQ for you folks while I have your attention: Do you recommend I double down on MQL4/MT4 or migrate to MQL5/MT5? I'm about 3 months into building my EA, but I'm at a point where i can pause my iterative development,...
I would move to MT5 if you can find a decent broker who offers it. If you are successful you may want to pivot to futures and there is no such thing as an MT4 FCM. The MT5 back-tester is also less flawed than MT4.

Quoting kasinath
{quote}I didn't know about pandas before now. adding to my toolkit. thanks.
I'm currently learning pandas so I'm looking for nails to hit with my new pandas-hammer, lol. Here is a script that I was playing with...

https://gist.github.com/nicholishen/...e81adf1f859042
  • #16
  • Last Post: Jul 7, 2020 8:03pm Jul 7, 2020 8:03pm
Quoting Nicholishen
{quote} I would move to MT5 if...
Good points. I think i need to bite the bullet and start my migration. Ugh. Tedious.

Wish i could find good MQL devs I can trust and pay them to do this part.


Quoting Nicholishen
{quote}I'm currently learning pandas so I'm looking for nails to hit with my new pandas-hammer, lol. Here is a script that I was playing with... https://gist.github.com/nicholishen/...e81adf1f859042
Haha, i know the feeling! this script looks pretty slick though. I'm bookmarking it for later.
0 traders viewing now