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Among other interesting comments (about Portfolio
Maximizer), ZooKeeper noted:
>Have it. Love it. It's very helpful in finding MAE and MFE. MAE allows me
to
>set up my money management stop loss. MFE shows me where what I call the
>point of no return occurs...
Hah! Someone who may be able to answer a question that has bothered me
for several years:
How well do MAE and MFE work in real time? They've always seemed to me
like the kind of thing that would seem wonderful on historical data, but
then
blow up in your face the moment you tried to use them--over-optimized by
definition.
I guess the second question is, how long have you used them in real-time
trading? Over how many trades? And on what time scale?
Many thanks.
Owen Davies
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