How to get Maximum Adverse Excursion of each trade after cerebro run?

sanmao

I want to analyse profit and MAE of each trade, and profit distribution after strategy run.
MAE is defined as the most price movement against position

backtrader

You need:

An Analyzer which calculates MAE
Add it with cerebro.addanalyzer(MAEAnalyzer, **kwargs)
Access it after the run (see: Docs - Analyzers

It is not an analyzer which is included with backtrader

ab_trader

I've coded MAE/MFE analyzer recently. Check this topic

https://community.backtrader.com/topic/1274/closed-trade-list-including-mfe-mae-analyzer

sanmao

@ab_trader It's great. Thanks for sharing.

backtrader

@ab_trader said in How to get Maximum Adverse Excursion of each trade after cerebro run?:

I've coded MAE/MFE analyzer recently. Check this topic

https://community.backtrader.com/topic/1274/closed-trade-list-including-mfe-mae-analyzer

Totally forgotten!