Re: System Exits

["Gaius Marius" <magnus@xxxxxxxxxxx>]

:In the omega arhive (see below ) Craig (Nelson?) posted on Fri, 04 Oct
:96 "My Favorite Stop Method"  (see below).
:Anyone got the code for the "MAE"?

----------------------------------------------------------
Maximum Adverse Excursion  and Maximum Favorable Excursion
by Pierre Orphelin

{Indicator; MAE/MFE}
vars:mp(0),eqt(0),eprix(0),mae(0),mfe(0),memmae(0),memmfe(0),temp(0);
mp=I_MarketPosition;
eqt=I_OpenEquity;

if mp<>mp[1] and absvalue(mp[1])=1 then begin
 eprix=eqt;
 mae=0;
 mfe=0;
 if mae[1]<memmae then memmae=mae[1];
 if mfe[1]>memmfe then memmfe=mfe[1];
 end else begin
 temp=eqt-eprix;
 if temp>mfe then mfe=temp;
 if temp<mae then mae=temp;
 end;
plot1(-memmae,"MAE");
plot2(memmfe,"MFE");

plot3(-mae,"mae");
plot4(mfe,"mfe");