MAE bug in SQ?
1 replies
mikeyc
7 years ago #115374
Hi SQ Team,
I have a SQ strategy like this (short only strategy):
-------------------------------------------------------------------- Pseudo Source Code of Strategy 0.114904 with parameter names. Generated by StrategyQuant version 3.8.0 Generated at Tue Jul 19 12:55:00 GMT 2016 Tested on GBPUSD_FXOpen, M5, 03.01.2009 - 28.01.2015 Spread: 0.8, Slippage: 0.0, Min distance of stop from price: 0.0 -------------------------------------------------------------------- ==================================================================== == Entry conditions ==================================================================== ShortEntryCondition = (iCustom(NULL,0, "ZigZag_Signal", 12,5,3,Baseline,1) < iCustom(NULL,0, "ZigZag_Signal", 12,5,3,ZigZag_Signal,1)) ==================================================================== == Entry orders ==================================================================== -- Short entry if ShortEntryCondition is true { if No position is open then Sell on open at Market; Stop Loss = 12 pips; } ==================================================================== == Exit orders ==================================================================== -- Short exit if MarketPosition is Short { if (Highest(18) Crosses Below TEMA(142)) { Close position at market; } }
Stop loss is fixed, 12 pips.
My understanding would be that MAE could not be greater than 12 pips, since any price more than 12 pips away should close the position.
Looking at the trade list, ordered by largest MAE:
I can see the $-12.5 SL ($5 commission per lot included) trades, but the are larger MAE values above them.
How can the price exceed 12 pips open loss without triggering the SL?
Thanks,
Mike
tomas262
7 years ago #138411
MAE should not be greater than SL value. It only occurs when “exit rule” is applied. Is stop-loss applied with 100% of your trades?
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