|
PureBytes Links
Trading Reference Links
|
Hello,
You already got it under a different name:
1. Max. trade drawdown: The largest point distance between equity peak value and the following trough value experienced by any
single trade
2. Max. trade % drawdown: The largest percentage distance between equity peak value and the following trough value experienced by
any single trade
For more details see "Reference guide->System test report window" section
of the User's guide.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "nenapacwanfr" <nenapacwanfr@xxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Sunday, December 09, 2001 6:48 AM
Subject: [amibroker] MAE
> 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.
>
>
>
>
>
> Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
>
>
>
|