Re: Excursion Analysis formulas

[Bob Wiseman <bwiseman@xxxxxxxxxxxxxxxxxxx>]

Hi Walter:

I've been a fan of John Sweeney's MAX for years.  Thanks for the formulas and
PLEASE keep all of us posted on you exchange with him.

Thanx

Bob Wiseman

Walter Lake wrote:

> 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