Re: [amibroker] MAE and MFE

[emarco@xxxxxxxxxxxxxxx]

Maximum Adverse Excursion and Maximum Favorable Excursion exit targets and alerts. 
Maximum adverse excursion (MAE) is the maximum amount the security price goes against you during the trade. Maximum favorable excursion (MFE) is the maximum amount the security price moves is your favor during the trade. As a measure of the position volatility, MAE and MFE assist immensely in locating your stops. 

For a detailed discussion on using maximum adverse and favorable excursion, see "Maximum Adverse Excursion" by John Sweeney, copyright 1997, published by John Wiley & Sons, Inc. MAE is calculated as the greatest difference between the entry price and the worst price that goes against a position before the position is closed. MFE is calculated as the greatest difference between the entry price and the best price that goes in the favor of a position before the position is closed.

MAE and MFE alerts are raised when the calculated MAE or MFE values reach the exit targets.



----- Mensaje original -----
De: amarilloblanco <amarilloblanco@xxxxxxxxx>
Fecha: Martes, Abril 17, 2007 1:32 pm
Asunto: [amibroker] MAE and MFE

> Could someone give a good explination about what means MAE and MFE 
> when 
> I run on  AA backtest.
> I tried to find on Help, but i didn't find it.
> Tia
> Eduardo
> 
> 



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