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Re: Question About MAE/MFE?



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----- Original Message ----- 
From: "Alex Matulich" <alex@xxxxxxxxxxxxxx>


> You may find that MAE isn't as useful as the literature says.  It
> *sounds* logical -- measure the maximum adverse excursion of your
> winning trades, and use that to set your initial stoploss.  In
> theory this lets your winners win and stops out the losers early.

Don't know how you did this but i am convinced that if you do it
the proper way it will be possible to improve systems.

However, MAE alone is not enough, you also need the MFE and
ofcourse, the profit/loss of each trade.

At that point you can try to filter out trades that go deeply into a loss
without ever being profitable. Scatterplots can give a clear view of
all these kind of things.

I am convinced, when used properly, it will improve and never
worsen your system results. But only when all factors are watched
that are important, and, ofcourse, only when you don't try to 
"over optimize" the results.

greetings.