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Tomacz,
I have read the Reference guide->System test report window
1/ you must update the
Bars (avg. days) in test:1242 (1800)
2/I 'd take a simple equity for Long
entryprice=100
day1= 105
day2= 95 equity dip
day3= 120 equity peak value
day4= 115 exitprice
> 1. Max. trade drawdown: The largest point distance between equity
peak value and the following trough value experienced by any
> single trade
is it 120-115 ???
3/The Trade drawdown is the equity dip by any single trade relative
to the entry price
is it 100-95 ?? ( entryprice-equity dip)
in this case it is the MAE for a winning trade in a long system
4/ But for a losing trade of a long system, example
entryprice=100
day1= 105
day2= 95
day3= 90 stoploss
what is the trade drawdawn?
always 100-90;
5/what will be really interesting:
to have different MAE for winning trade drawdawn and losing trade
drawdawn in the purpose to setting stops correctly.
Please
stephan carrasset
>
> > Tomacz,
> >
> > Do you think you could add the MAE(Maximum adverse excursion) for
> > WINNING trade and LOSING trade.
> > It could be a nice statistic to adjust our
> > stop, relative to the risk, if the next release of system tester
> > allows to buy a specific number of shares .
> >
> > stephane
> >
> > MAXIMUM ADVERSE EXCURSION
> >
> > "MAE" stands for" maximum adverse excursion," which is just the
> > number of trading points a trade goes against your position at any
> > time between opening and closing the trade.
> > This is the worst price movement against your position that you
are
> > to encounter during the entire trade. The worst case is usually as
> > being the high or loww depending wheter you are short or long.
> > You measure MAE in order to find out how bad things can get when
> > you're trading a specific system or approach. Once you know that,
you
> > may be in a position to limit losses and increase profits by
simply
> > setting stops correctly.
> >
> >
> >
> >
> >
> > Your use of Yahoo! Groups is subject to
http://docs.yahoo.com/info/terms/
> >
> >
> >
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