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MAE = Maximum Adverse Excursion
MFE = Maximum Favorable Excursion
MAE is the largest loss your trade shows during its life.
MFE is the largest profit your trade shows during its life.
For example:
Buy at 100
Price drops to 95
Price increases to 110
Price drops to 107
Sell at 107
MAE = (95-100)/100 = -5% (some people calculate this as a positive value)
MFE = (110-100)/100 = +10%
MAE can be zero if the trade is profitable from the start.
MFE can be zero if you lose money from the get go and are stopped out.
- Sean
--- In amibroker@xxxxxxxxxxxxxxx, tintin92 <tintin922002@xxxx> wrote:
>
> Hello,
>
> How is calculated MAE and MFE?
> What MAE and MFE mean ?
>
> Thanks
>
> Tintin92
>
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