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MAE/MFE relate to SINGLE trade only. Drawdowns relate to portfolio equity,
also Max drawdown is peak-through distance while MAE is only entry->through
distance (smaller).
The main application of MAE/MFE is properly setting max. loss/profit stops.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "quanttrader714" <quanttrader714@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Friday, November 14, 2003 5:24 PM
Subject: [amibroker] Re: MAE and MFE Interpretations
> 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
> > -----------------------------------------
> > Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> > --------------------------------------------
> > Check group FAQ at:
> > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> >
> > Your use of Yahoo! Groups is subject to
> > http://docs.yahoo.com/info/terms/
>
>
>
> Send BUG REPORTS to bugs@xxxxxxxxxxxxx
> Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
> -----------------------------------------
> Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> --------------------------------------------
> Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
> Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
>
>
>
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