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In a message dated 8/17/98 10:41:58 AM, owen@xxxxxxxxxxxxx wrote:
<<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.
Owen Davies
>>
I've always worried about this too. Would be interested in any comments pro
or con. First heard about MAE many years ago at a seminar where John Sweeney
of TASC introduced the idea. Maybe MAE measured in units of ATR instead of
dollars would be the way to avoid curve fitting and make the exit more
adaptive.
Chuck
traderclub.com
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