|
PureBytes Links
Trading Reference Links
|
Yup, that is what Rinasystem's TS add-ons do, and more.
Gwenn
Paul Weston wrote:
>
> I have received many questions about MAE, MFE, and MAR. So I decided to
> post a response to the entire list.
>
> <<<<<<<<<<<
> >
> > Maximum Adverse Excursion
> > Minimum Favorable Excursion
> > Maximum Retracement
>
> That sounds like you are using RinaSystem. If it's the case, what is
> your opinion about? Can you use with non TS generated trade reports as
> well?
>
> Else, I believe as well that much can be learned from looked
> at these numbers...
>
> Gwenn
>
> >>>>>>>>>>>>
>
> I don't use RinaSystem. I use Trade Station and develop my own systems.
>
> Perry Kaufman (Smarter Trading) and John Sweeney (Campaign Trading), both
> stress that any trading system has "natural" adverse moves when you enter
> them. This is especially true of breakout systems. To maximize profits,
> the initial stop must be below this point.
>
> I use this in the evaluation of my systems to see how much "pain" I might
> have to endure. If it is too much, I don't use it.
>
> This is a much better approach that arbitrarily deciding on $xxxx, or
> yyyy%, which have nothing to do with the way the market moves.
>
> For a very complete review of the 1st 2, see John Sweeney's book Campaign
> Trading.
>
> Basically, if you plot these and do a statistical analysis of wins vs
> loses, you will see certain clusters and cutoff points.
>
> Simply, MAE is how far a winning trade will move against you after you have
> entered a trade.
> MFE is how far a winning trade will generally move in your favor.
> MAR is average retracements from new highs during a trade.
>
> Max Retracement is something his book does not cover, but it is along the
> same lines as MAE. I use MAE to set initial stops and MAR to set trailing
> stops.
>
> John also wrote several articles on the subject in TASC.
>
> I hope this is of benefit to all.
>
> Regards,
> Paul Weston
|