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William Vedder, Jr wrote:
>
> Meant to copy the list.
>
> ---------------------------------------------------------------
>
> Subject: Re: Max Adverse Excursion
> Date: Fri, 05 Feb 1999 21:18:39 -0600
> From: "William Vedder, Jr" <bved01@xxxxxxx>
> To: Phil Lane <logical@xxxxxxxxxxxxx>
> References: <3.0.6.32.19990204090711.00920270@xxxxxxxxxxxxxxxxxx>
>
> Phil Lane wrote:
> >
> > Does this work for any of you? The idea seems to be that the trades drawing
> > down beyond a certain point will generally turn out to be unsuccessful. But
> > I find the trades with the most drawdown have about the same probability of
> > working as do the smaller ones, and many times they lead to the biggest
> > gains. MAE - A pipe dream? Probably depends on your system or something.
>
>
I wonder if it works better if you express the excursions in terms of
ATR instead of $.
At least in the Rina demo, if I recall correctly, the MAE was either in
points or $, making it less generally applicable to varying market
conditions??
Conrad Bowers
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