Backtesting printout of individual trades

[perberglund]

For each instrument a robot is run print a list of Sequence number for trade, instrument, long or short, open day of week, open date, open time, open price, close day of week, close date, close time, close price, trade size, unit gain/loss trade gain/loss % trade gain/loss, % account gain/loss, Maximum favorable excursion (MFE)(currency & %)(the highest gain achieved while the trade is open), MFE date, MFE time, MFE # of candles from opening of trade, Maximum adverse excursion (MAE)(currency & %)(the greatest unrealized loss achieved while the trade is open) MAE date MAE time MAE # of candles from opening of position Brokerage fee/interest etc variable values in optimisation runs

[perberglund]

Kan ju försöka få det lite snyggare

[perberglund]

On Maximum adverse excursion: "MAE is the amount a trade moves against us. For example, if we open a trade that immediately climbs to a profit of $100, then falls to $75 into the red before we finally close the trade at our $250 profit target, our MAE would be $75."

http://systemtradersuccess.com/a-statistical-method-for-stop-placement/