Maximum Profit in Trades Closed at a Loss

["Ken Close" <closeks@xxxx>]

Reread the subject line, as it is not quickly understood. Tushar Chande
says, in his 2nd edition book, that there is a lot of good system evaluation
data by looking at:

- the distribution of max profits in all trades eventually closed at a
loss.
- the distribution of max losses in all trades eventually closed at a
profit.

I assume this to mean:

- the highest (paper) profit reached in an open trade that eventually closes
for a loss;
- the maximum (paper) drawdown or loss reached in an open trade that
eventually closes for a profit.

How would one do this either within AB or in exported results that are then
manipulated in Excel??

Some use of HHV or LLV between Buy and Sell signals, I would guess.
However, the trade report does not keep track of price movement between
entries and exits.

Any ideas from the expert coders in the list??

Thanks,

Ken