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:I believe this code isn't truly MAE/MFE, since the equity calculation it
:uses (OpenEquity function) is based on the closes of bars, rather than
:extremes. At least that's what it does when I run it. Does anyone have a
:simple way to do it so it calculates the actual maximum? I know it can be
:done using print statements in your system code, but is there a simpler
:way? Too bad Omega dropped this from System Writer.
You know, you could <<SNIP>> your email "reply to" once in a while, just to
make life easier for everyone else.
Anyways, Portfolio Maximizer has a more thorough MAE/MFE analysis than what
is currently available through the archives. How does the PM calculates it ,
I don't know.
As it stands right now, if you're using the MAE/MFE as written by Pierre
Orphelin on Supercharts or on daily bars, I can understand your gripe. But
if you use it in TS or on intraday data, it's not really that bad.
Check out the Portfolio Maximizer if you want a more thorough analysis of
your systems. It gives a more complete analysis than the standard system
report that comes with Omega's products. But, it's not the end all of system
analysis...just a better start off point than the standard system report.
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