Maximum Adverse Excursion and Maximum Favorable Excursion
2017-04-27 21:30
176 查看
Maximum Adverse Excursion (MAE) and Maximum Favorable Excursion (MFE) are trading concepts first developed by John
Sweeney in 1985, and later popularized in his 1997 book Maximum Adverse Excursion: Analysing Price Fluctuations for Trading Management (see
box below).
The Maximum Adverse Excursion is the maximum amount the price goes against you whilst in a trade, i.e. the lowest low. The Maximum
Favorable Excursion is the maximum amount the price goes in your favor whilst in a trade, i.e. the highest high.
The MAE can be very useful in setting stops, and the MFE can help set optimal profit
targets. When you are backtesting your proposed system, first assume that you will place very wide stops and profit targets, and be sure to record the MAE and MFE for the trade, in addition to the final profit. You will then have all the data you need
to review and select the best stop and profit target levels.
Sweeney in 1985, and later popularized in his 1997 book Maximum Adverse Excursion: Analysing Price Fluctuations for Trading Management (see
box below).
The Maximum Adverse Excursion is the maximum amount the price goes against you whilst in a trade, i.e. the lowest low. The Maximum
Favorable Excursion is the maximum amount the price goes in your favor whilst in a trade, i.e. the highest high.
The MAE can be very useful in setting stops, and the MFE can help set optimal profit
targets. When you are backtesting your proposed system, first assume that you will place very wide stops and profit targets, and be sure to record the MAE and MFE for the trade, in addition to the final profit. You will then have all the data you need
to review and select the best stop and profit target levels.
Maximum Adverse Excursion (MAE) replaces emotionally-biased guesswork with statistical calculations that enable traders to quantitatively define the loss point. |
相关文章推荐
- (Reading)From Language to Programs: Bridging Reinforcement Learning and Maximum Marginal Likelihood
- D. Little Girl and Maximum XOR(贪心)
- CF#259 dv2 CLittle Pony and Expected Maximum(二项式公式)
- CF276C Little Girl and Maximum Sum(贪心+差分)
- Codeforces 453 A. Little Pony and Expected Maximum
- LINUX AND THE MAXIMUM NUMBER OF PROCESSES (THREADS)
- [SIM] The maximum transfer rate between "UE" and "SIM card"
- 【Codeforces Round 169 (Div 2) D】【简单数位贪心】Little Girl and Maximum XOR 区间选两数使得异或值尽可能大
- Data migration to generate the maximum value of the sequence between beta scheme and appbeta scheme
- tomcat 大并发报错 Maximum number of threads (200) created for connector with address null and port 8080
- Local minimum and local maximum,second derivative
- Little Pony and Expected Maximum
- mysql query to find the maximum 3 values from a column and group by on other column
- Script To Monitor RDBMS Session UGA and PGA Current And Maximum Usage Over Time
- A. Little Pony and Expected Maximum
- tomcat 大并发报错 Maximum number of threads (200) created for connector with address null and port 8080
- Codeforces Round #259 (Div. 1)——Little Pony and Expected Maximum
- CF 453A(Little Pony and Expected Maximum-若干次掷骰,最大那次期望-推公式)
- Codeforces Round #259 (Div. 2) C - Little Pony and Expected Maximum (数学期望)
- Little Pony and Expected Maximum CodeForces - 453A (数学期望)