I am trying to figure out how to calculate MAE/MFE for trade analysis and find some references in the LEAN documentation about TradeBuilder/StatisticsBuilder classes. Does anyone know if this can be doe in Python? It looks like it is included in the API docs as self.SetTradeBuilder, but I am sure how to use it and in what context. Any help is appreciated.
Thanks,
Aaron
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TradeBuilder is a IAlgorithm member used to manage trades. It has a list of Trade object with the information you are looking for: MAE, MFE, Drawdown, etc... Trades are created based on a grouping method and a mathing method that are set with the TradeBuilder.
You can set the TradeBuilder using SetTradeBuilder(tradeBuilder), where tradeBuilder can be defined by:
tradeBuilder = TradeBuilder(fillGroupingMethod, fillMatchingMethod)
self.SetTradeBuilder(tradeBuilder)We have three fill grouping methods and two fill mathing methods:
# A Trade is defined by a fill that establishes or increases a position and an offsetting fill that reduces the position size.
FillGroupingMethod.FillToFill
# A Trade is defined by a sequence of fills, from a flat position to a non-zero position which may increase or decrease in quantity, and back to a flat position.
FillGroupingMethod.FlatToFlat
# A Trade is defined by a sequence of fills, from a flat position to a non-zero position and an offsetting fill that reduces the position size.
FillGroupingMethod.FlatToReduced
# First In First Out fill matching method
FillMatchingMethod.FIFO
# Last In Last Out fill matching method
FillMatchingMethod.LIFOIf you want to Log the statistics at the end of the algorithm, you can use:
def OnEndOfAlgorithm(self):
for trade in self.TradeBuilder.ClosedTrades:
self.Log(self.trade_to_string(trade))
def trade_to_string(self, trade):
return 'Symbol: {0} EntryTime: {1} EntryPrice {2} Direction: {3} Quantity: {4} ExitTime: {5} ExitPrice: {6} ProfitLoss: {7} TotalFees: {8} MAE: {9} MFE: {10} EndTradeDrawdown: {11}'.format(
trade.Symbol,
trade.EntryTime,
trade.EntryPrice,
trade.Direction,
trade.Quantity,
trade.ExitTime,
trade.ExitPrice,
trade.ProfitLoss,
trade.TotalFees,
trade.MAE,
trade.MFE,
trade.EndTradeDrawdown)StatisticsBuilder, on the other hand, is used at engine level to calculate portfolio statistics that are shown in the "Overall Statistics". Github issue #1105 proposes making running statistics, calculated by the StatisticsBuilder, available in the algorithm.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Wow thank you so much! I eventually figured it out but this provides context (and is a lot cleaner than what I have set up as well) and is beyond appreciated. Thanks again.
-Aaron
Hi,
I am trying to use the method as suggested :
tradeBuilder = ITradeBuilder(FillGroupingMethod.FillToFill,FillMatchingMethod.FIFO)
self.SetTradeBuilder(tradeBuilder)but the error code says that FillGroupMethod is not defined. May I know what am I doing wrong? Thanks
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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