MAE/MFE using High Low extremes

[Orphelin@xxxxxxx]

Dans un courrier daté du 27/09/98 04:17:06  , Lincoln Fiske écrit :

<< 
 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.
 
 Thanks.
 >>

Right.

The code was written to use the OpenEquity function, but it was easy to
modify:
Knowing the Equity on close value and the High Low of the bar allows to
display the MAE& MFE based on the bars values.
The code below should meet your needs.
There are  lot of things that can be done in EL and that are not provided with
the software...

Sincerely,

Pierre Orphelin



{================<=Code starts here=========================
Maximum Adverse Excursion / Maximum Favorable Excursion
- TradeStation code using  price extremes -
Code by Pierre Orphelin [1998].
http://www.sirtrade.com
Based on John Sweeney's  MAE MFE concepts.
Maxbarsback set to 1.
Scaling  set to "screen".
======================================================}

vars:mp(0),eqt(0),eprix(0),mae(0),mfe(0),memmae(0),memmfe(0),temp1(0),temp2(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
	value1=eqt-eprix+(h-c)*BigPointValue;
	value2=eqt-eprix+(c-l)*BigPointValue;
	temp1=maxlist(value1,value2);
	temp2=minlist(value1,value2);
	if temp1>mfe then mfe=temp1;
	if temp2<mae then mae=temp2;
end;

plot1(-memmae,"MAE");
plot2(memmfe,"MFE");
plot3(-mae,"mae");
plot4(mfe,"mfe");

{====================END of code==============================}