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I'm guessing here (there's nothing in the EL manual or the on-line help)
but maybe the Omega functions are based on closing prices whereas MAE and
MFE defined by Sweeny, are calculated using daily highs and lows.
Regards,
Bill Vedder
Canyon678@xxxxxxx wrote:
> Much has been written about MAE & MFE.
> There was a brief discussion in January 1999 on this list.
>
> I normally look at the built in functions MaxPositionLoss(num) &
> MaxPositionProfit(num).
>
> I find the meaning to be similiar from Sweeny's notes & the Omega
> function.which is found in "Position Information" section of the Power
> editor.
>
> But the numbers come out to be different when I calculate it.
> Anyone care to elaborate.
> Mike
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