Excursion Analysis formulas

["Walter Lake" <wlake@xxxxxxxxx>]

Hi Frans

The following are John Sweeney's Excursion Analysis formulas:

1. MAE or Maximum Adverse Excursion

a) MAE(long) = MAX[0, (Entry price - Lowest subsequent low), Previous value]

NOTE: The MAX function in a spreadsheet selects the highest value from the
three values separated by a comma "," within the square brackets "[  ]". MAX
refers to the greater of zero or the absolute value of the computed
difference.

b) MAE(short) =  MAX[0, (Highest subsequent high - Entry price), Previous
value]


2. MaxFE or Maximum Favourable Excursion

a) MaxFE(long) = MAX[0, (Highest subsequent high - Entry price), Previous
value]

b) MaxFE(short) = MAX[0, (Entry price - Lowest subsequent low), Previous
value]


3. MinFE or Minimum Favourable Excursion

a) MinFE(long) = MAX[0, (Highest subsequent low - Entry price), Previous
value]

b) MinFE(short) = MAX[0, (Entry price - Lowest subsequent high), Previous
value]


MinFE often is a more graphic trade indicator than MaxFE and I believe is
the direction to look, for developing other trade indicators.

MAE and MFE are the distance part of a complete time & distance formula. The
time aspect has not yet been elaborated by Mr. Sweeney.  Will keep you
posted on how discussions go with him. Am also trying to track down other
writers in the area of behavioral finance to find out what they have to say.

Best wishes

Walter