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I think that's what I said, although you could conceivably calculate
drawdown on single trades with intraday data.
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
wrote:
> 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@xxxx>
> 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
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> >
> >
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> > Send SUGGESTIONS to suggest@xxxx
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