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Open Feature request MC-2327

Add average MAE MFE and ETD in report and custom criteria in optimisation and backtest
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Description

Average MAE: Average of the Max adverse excursion of each trade
Average MFE: Average of the Max favorable excursion of each trade
Average ETD: Average End of trade drawdown of each trade

It would be good to have those value in the
-Backtest report
-Optimisation report
-WalkForward report

And optimise with a custom criteria using those Metric

Comments (1)
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#1
user-offline.png FidelisCapital
Oct 03, 2017 - 14:01

A change like this makes sense. But, I think the platform could do with some major changes that would make this idea a very small thing. I would like MC Development to look at a platform that I recently demoed called Algoterminal. It has all of these things and more. I think MC should take idea from it and improve MC in the next upgrade. Please look at my recommendations

https://www.multicharts.com/pm/public/multicharts/issues/MC-2337
https://www.multicharts.com/pm/public/multicharts/issues/MC-2336

Algoterminal:
www.algoterminal.com

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Issue basics
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    user-offline.png RockyLee
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