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Tomacz,
Do you think you could add the MAE(Maximum adverse excursion) for
WINNING trade and LOSING trade.
It could be a nice statistic to adjust our
stop, relative to the risk, if the next release of system tester
allows to buy a specific number of shares .
stephane
MAXIMUM ADVERSE EXCURSION
"MAE" stands for" maximum adverse excursion," which is just the
number of trading points a trade goes against your position at any
time between opening and closing the trade.
This is the worst price movement against your position that you are
to encounter during the entire trade. The worst case is usually as
being the high or loww depending wheter you are short or long.
You measure MAE in order to find out how bad things can get when
you're trading a specific system or approach. Once you know that, you
may be in a position to limit losses and increase profits by simply
setting stops correctly.
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