MAE MFE of trades

[kaustv-datta]

Thanks for the very useful library!

Is it possible to extract MAE (Maximum Adverse Excursion) and MFE (Maximum Favorable Excursion) data for each trade?

[edtechre]

Hi @kaustv-datta,

The framework does not calculate this for you. However, I can add these metrics.

For the time being, you can calculate these yourself on the data returned from the backtest result.

[kaustv-datta]

It would be amazing if you could add these metrics to the framework. It would help me with analyzing optimal stop-loss/take-profit levels.

[edtechre]

Hi @kaustv-datta,

Could you provide more information on what you are looking for? Do you want these computed per-trade?

Right now, the framework will return largest_win and largest_loss metrics.

[kaustv-datta]

Hi @edtechre,

I'm indeed looking for the metrics computed per-trade.

E.g. How To Use Maximum Adverse Excursion To Optimize Your Stop Loss

[edtechre]

Hi @kaustv-datta,

MAE and MFE have been added to trades in the dev branch. Please take a look! These will make it into the next v1.1.33 release.

[edtechre]

Change is in v1.1.33