'Real' drawdown figure. Help needed - page 2

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Fernando Carreiro:

No, I don't think so, because the current trading report is based on Trade history, and not on the live data price excursions while orders are open. Such data (M.F.E. and M.A.E.) are not recorded in the Trade History, so it cannot be calculated after the fact.

M.F.E. = Maximum Forward Excursion, M.A.E. = Maximum Adverse Excursion

Very helpful, so thanks for that. Is there a plugin or other software that can calculate those ?

 
Mike Kleinsteuber: Sure. What is the 'Relative' relative to ?

As per MT4 documentation ...

  • Relative Drawdown – the maximal loss in percents of the maximum balance value and its corresponding money value;
  • Maximal Drawdown – maximal loss of the local maximum in the deposit currency and in percents of the deposit;

    • As described by someone else ...

    • Relative drawdown is a ratio between the maximal drawdown and the value of the corresponding local maximum of the equity. This coefficient shows losses, in percents of equity, experienced by an Expert Advisor;
    • Maximal drawdown is the maximal difference between one of the local maximums and the subsequent minimum of the equity;
     
    Fernando Carreiro:

    As per MT4 documentation ...

    As described by someone else ...

    Very useful. Thanks very much. I gather from this I'm going to have to look elsewhere for the data I'm after: "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 right 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."

     
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    Mike Kleinsteuber: Very helpful, so thanks for that. Is there a plugin or other software that can calculate those ?

    I only know of Equity Curve recorders (I think their are some in the CodeBase). I don't know of other other free utilities, but ...

    I believe that if you create a private signal here on MQL5 site for your own account, it might show you that information (but I don't have experience with signals). I do know however, from experience that if you do that on "MyFXBook" that it does also show you MFE and MAE data.

     
    Fernando Carreiro:

    I only know of Equity Curve recorders (I think their are some in the CodeBase). I don't know of other other free utilities, but ...

    I believe that if you create a private signal here on MQL5 site for your own account, it might show you that information (but I don't have experience with signals). I do know however, from experience that if you do that on "MyFXBook" that it does also show you MFE and MAE data.

    Again, very useful. Thanks for your time and patience :)

     
    Mike Kleinsteuber: This is one main reason there is no indicator for plotting MFE/MAE.

    Incorrect! I have my own private tools for calculating and showing MFE/MAE for my own trading without such limitation, and it works on both MT4 and MT5.

    It is all a question of proper programming for collecting that data and showing on screen, so it is not the platform that restricts that type of charts.

    Unfortunately for you I am unable to freely share with you or the public my own tools and EAs. Sorry!

     

    Apparently there is a free script for calculating MFE and MAE on your trades ... https://www.mql5.com/en/code/7665

    EDIT: And it also calculates the drawdown values and outputs it to the "Experts" Log

    A Script to Calculate MAE and MFE
    A Script to Calculate MAE and MFE
    • www.mql5.com
    Drawdowns are calculated, too.
     
    Fernando Carreiro:

    No, I don't think so, because the current trading report is based on Trade history, and not on the live data price excursions while orders are open. Such data (M.F.E. and M.A.E.) are not recorded in the Trade History, so it cannot be calculated after the fact.

    M.F.E. = Maximum Forward Excursion, M.A.E. = Maximum Adverse Excursion

    MFE stands for Maximum Favorable Excursion, not Forward.
     
    Alain Verleyen: MFE stands for Maximum Favorable Excursion, not Forward.
    Yes, correct sorry! It was a "mental" typo, sometimes called a "brain fart"! 😂
     
    Fernando Carreiro:

    Apparently there is a free script for calculating MFE and MAE on your trades ... https://www.mql5.com/en/code/7665

    EDIT: And it also calculates the drawdown values and outputs it to the "Experts" Log

    Thanks for all your help. This is exactly what a good forum should be.

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