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Yes, like in John Sweeney's article... I was already thinking about it too.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "quanttrader714" <quanttrader714@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Friday, November 14, 2003 6:38 PM
Subject: [amibroker] Re: MAE and MFE Interpretations P.S.
> When using MAE and MFE to set stops and profit targets, if you only
> use histograms of their distributions you'll sometimes get very
> surprising results when you re-run the backtest with those stops and
> profit targets. This is because the histograms don't show you the
> closed profits/losses of the trades associated with the MAE and MFE
> values. So sometimes it can be useful to make simple scatter plots of
> the trades, with profit/loss on the Y axis and MAE or MFE on the X
> axis to see this relationship. You could then break this down by all,
> winning, losing, long and short trades. And if you do, you'll see
> there are fundamental differences in relationships between P/L and MAE
> for winning and losing trades, for example.
>
> --- 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
> > > > Send SUGGESTIONS to suggest@xxxx
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> > >
> > >
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> > >
> > >
>
>
>
> Send BUG REPORTS to bugs@xxxxxxxxxxxxx
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>
>
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