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Thanks to Walter Lake for exposition of MAE concepts.
Couple of issues were unclear. In defining MAE, you refer to "lowest
subsequent low." Does that include intra-day or only closing lows?
Does it include the low on the day of the trade?
Does it have to be calculated for every day while in the trade?
The other more basic question with regard to the 3 statistics
calculated: Max Adverse Excursion;
Max Favorable Excursion; Minimum Favorable Excursion:
what does one do with these 3 when you have them?
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