In case of use of oversampling the graph will plot the distribution of all trades or only of one sample?

MAE stands for Maximum Adverse Excursion. It's a nice tool to visually determine if and where to place a stop.

Every trade made by your system is represented by a dot. If the trade was profitable, it is green and above zero. If it was unprofitable, it is red and below zero. So the higher the dot, the better.

The X axis is maximum excursion of a trade, in percentage of the trade's position.

The Y axis is profit/loss of a trade, in percentage of the trade's position.

Say you buy a stock at $100.00, it reaches a low of $99.00, and it sells at $120.00. Your trade will plot at (1.0,20.0). That is, 1% drawdown, 20% profit.

To see visually the effect of adding a percentage-based stop loss, draw a vertical line. Any greens to the right of the line become losses, and any reds become less unprofitable. Thus, it appears to be useful for 1ND1G0 and not for Hredot.

But we have Zorro, so we can easily optimize after using our visual cue.

Hredot: I like your plot, you have some very profitable trades. What I don't understand is why your system isn't profitable when it sees very small drawdowns (<=0.6% per trade). In any case, I don't think you need to add stop losses because it can hurt your profitability.

All trades. The code is in your profile.c header, so you can tweak it for your own purposes if necessary.

Thanks for the explanation!

Btw, that plot was not from a real system. Rather an ideal one that strives to achieve optimal performance by using PEEK. It is actually surprising how hard it is to code an ideal system using only traditional indicators even when it knows the future... The idea is, if an approach does poorly when future is known, there is no chance it will succeed with only present information. A way to discard garbage ideas.

Many thanks for this information, Andrew. It's very much appreciated.

In terms of limiting my max drawdown so somewhere around 1%, is it just a case of adding in a line along the lines of Risk = 1; or is there more to it than that?

I don't think that's how the Risk variable works. Anyways, I would take a different approach using trade management functions.

Slightly modifying the code above, below is your percentage MAE...If you close a trade once the above variable reaches 1.0 or higher, you will have drawn a vertical line on your chart at 1.0. See how it affects your chart. And then attempt an optimization of this parameter, such as 0.5 to 1.5 in 0.1 increments, and see what you end up with on the chart.

See also...
(TMF, TradeMAE): http://zorro-project.com/manual/en/trade.htm
(optimize): http://zorro-project.com/manual/en/optimize.htm

EDIT: In retrospect, don't use TMF, use Stop.

Thanks again, Andrew.

I'm probably doing something wrong but it seems to only make things worse when I try and add this type of trade management into the mix.

I added your code to create the var, then the below:



Even optimising this parameter does not help.

In any case, this is certainly very good to know and I will certainly use this (i.e. the MAE graph) in future development.

Did you define the variable inside the for loop?

Alas, I have not been able to get this working as expected.

This is however certainly something I will work on figuring out eventually, as now that I can see the results on the graph, it is very clear this will improve my overall performance (for this particular algo).

Thanks again for your insight in this area, Andrew.

Ah, scratch that - It's not the most elegant solution, but I did the following:

- instead of generating the graph with percentages, I used plotMAEGraph(50); instead, so I could see the actual pip values
- I then set a basic stop at the 120 pip level as that represented the vertical line that Andrew alluded to
- this improved all metrics in the test period

One thing that you can see in the newly generated output, is that even with a stop at 120 pips, there is a number (albeit just a few) losing trades that have a value further right that this level. Which seems strange.