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Think of MAE as the most a trade has gone against you during its life
and MFE as the most a trade has gone in your favor. MAE is almost
like maxdd except it's the lowest point on the equity line of a single
trade as opposed to the max "peak to subsequent trough difference" as
with maxdd. MFE is simply the highest point on a trade's equity
line. The graphs show the distributions of MAE and MFE for the trades
in a backtest and can give you an idea of what to expect in the
future, assuming past results are indicative. For example, you might
look at the MAE histogram and see that almost all trades went 5% or
less against you at their worst point. Then, if a large number of
your system's trades have larger MAEs in real time, it should raise a
red flag. Keep in mind that the vertical bars in the histogram are
actually bins into which the MAE observations fall. So the first bin
would contain observations from -5% to 0, the second bin from -10% to
-5.00001% (or whatever), etc. The same principle applies to the MFE
histogram. You can also use this info to help figure out where to put
stops and profit targets or to compare and contrast systems to see
which best suit your temperment. Or again, as a benchmark based on
past performance.
--- In amibroker@xxxxxxxxxxxxxxx, "Ken Close" <closeks@xxxx> wrote:
> B Actually I did and deleted it because at the time I had no
interest.
> Now I have the interest. I should have searched the yahoo site. At
> least I did a google search.
>
> Do you not agree that most of us (some of us?) are often on
> informational overload, both from mastering all of the AB features,
to
> ingesting new learnings from related topics?? I am in this
category.
>
> Thanks for reminding me.
>
> Ken
>
> -----Original Message-----
> From: b519b [mailto:b519b@x...]
> Sent: Friday, November 14, 2003 3:01 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: MAE and MFE Interpretations
>
> Ken,
>
> Did you see this post?
>
> http://groups.yahoo.com/group/amibroker/message/51588
>
>
>
>
>
>
> Send BUG REPORTS to bugs@xxxx
> Send SUGGESTIONS to suggest@xxxx
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