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In 'Bonus Issue' (no month) 1993, the Technical Analysis of Stocks &
Commodities magazine carried an article by Technical Editor John Sweeney,
describing his 'Maximum Adverse Excursion' (MAE) concept.
That question was: In a favorable trade that made you money, how much
adverse movement happened along the way? In other words, it was going up
and up, and then it went down a bit, and then went on back up and was a
successful trade. That movement against your interests was the adverse
movement.
The idea being that if you looked at, say, 30 of your trades that went
well, and for each one you figured out how much it went against you, then
in future trades it would be wise to place your stops just big enough that
this adverse excursion could happen without triggering the stop and
throwing you out of the trade.
Calculating this by hand is certainly burdensome. Further it's not likely
to be the same in various commodities, or even to stay the same over time.
So has anybody worked out an Easy-Language procedure that can scan a
length of years and calculate the Maximum Adverse Excursion?
I would be grateful for any suggestions, code, or advice. Thank you.
-- Arthur Cronos, Fairfax California
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MOBIUS MEGATAR TAPPING BASSES
'Making Music Easier' http://www.megatar.com
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