|
PureBytes Links
Trading Reference Links
|
"Campaign Trading" by John Sweeney, Wiley, ISBN 0-471-14150-X, gives a
detailed explanation of MAE, MFE etc.
"Maximum Adverse Excursion" by John Sweeney, Wiley, ISBN 0-471-14152-6
gives a briefer explanation more oriented to professionals, but has
appendices giving the (somewhat involved) Excel entries.
There was a series by Sweeney in TAS&C in 1991 & 1992 but the books are
more comprehensive.
Harvey Pearce, Victoria, B.C., Canada
=====================================
derksenf wrote:
>
> 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
> >
> >
> >
> >
> >
|