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it would be nice if John stepped in and talk to us a bit about it. He is a
member of list.
Richard Estes
-----Original Message-----
From: derksenf <derksenf@xxxxxxxxxxxxxx>
To: metastock@xxxxxxxxxxxxx <metastock@xxxxxxxxxxxxx>
Date: Monday, September 07, 1998 4:31 PM
Subject: Re: MAE
>Hi Walter,
>
>Gee you really force me into studying this MAE-thing <G>
>
>Do you or anybody else know if there is anything on the web by John Sweeny
>regarding this subject ? Or did he write about it in TASAC ?
>
>I checked out Technical Analysis fm A to Z by Steven Achelis. Nothing
there.
>
>The MS6.5 handbook pg. 322 says it is the worst intraday price move against
>a position, measured from the entry price.
>
>I interpret this as the maximum open drawdown of the specific trade your
>looking at.
>
>And than the system MAE would be the max. open drawdown over all the trades
>done in that systemtest.(?)
>
>Perhaps I simply don't get the feel for what he means.
>
>Regards,
>
>Frans
>
>
>
>
>At 15:58 7-09-98 -0400, you wrote:
>>Hi Frans
>>
>>I put this on the bulletin board because of possible confusion others may
>>have about MAE (Maximum Adverse Excursion).
>>
>>If you do a system test of 2 MA crossovers on a tradeable, you may have
120
>>test reports. Each test report, i.e., 5 and 20 SMA cross will produce a
>>system MAE, because the MA's will cross and get you out at that MAE level.
>>
>>If you pick one system report and go to trades you may see 10 to 100
trades.
>>Each trade will have a MAE, none will exceed the system MAE.
>>
>>I do not use the system MAE to calculate "proven correct" for the
>>tradeable. Instead I look at the MAE for each trade of the system (i.e., 5
&
>>20 SMA cross). These are arranged like a distribution under a bell curve.
>>What you are looking for is a "fat" tail. The distribution is put into
>>"groups" or "bins". See Sweeney for a complete explanation.
>>
>>The same thing is done with the MFE (Maximum Favourable Excursion). This
is
>>superinposed over the MAE. You are looking for the most number of MFE in
the
>>smallest size of MAE.
>>
>>This is the basis I use for the distance part of the "proven correct"
>>calculation.
>>
>>When I used the expression "that what goes, goes", what I meant was that
>>some trades have a MAE of "0". They just take off and never look back.
>>
>>... Will write later.
>>
>>Walter
>>
>>
>>
>>
>>
>
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