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I've reported this to TJ and he is working on it. Hopefully, a new release
is coming soon!!
> -----Original Message-----
> From: HB [mailto:hmab@xxxxxxxxxxxxxx]
> Sent: Sunday, November 16, 2003 3:27 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: Re: [amibroker] Re: MAE and MFE Interpretations
>
>
> In an AB backetest report, how can a loss's Profit % be significantly less
> than its MAE ? I am getting this for some of my trades, where
> the Profit %
> is less than the MAE by a multiple of 3 sometimes.
>
> I thought MAE was the lowest point ?
>
> Thanks,
> HB
>
> ----- Original Message -----
> From: "Tomasz Janeczko" <amibroker@xxxxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Friday, November 14, 2003 11:55 AM
> Subject: Re: [amibroker] Re: MAE and MFE Interpretations
>
>
> > 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
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> > >
> > >
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> > >
> > >
> >
> >
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>
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-----------------------------------------
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-----------------------------------------
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--------------------------------------------
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