Mae Mfe Etc.

Discussion in 'Strategy Development' started by ElectricSavant, May 11, 2003.

  1. OHLC= open high low close
    MAE = Maximum Adverse Excursion
    MFE = Maximum Favorable Excursion

    The High and the Low are not necessarily the excursions from entry or exit.

    Which one happened first from your point of entry or after your exit is the question.

    Lets say you could tolerate an 5.50 point stop in the ES. And you wanted to reverse engineer and backtest a setup to find the winrate and avg. win to avg loss ratio.

    For this example lets say you analyse RTH EOD data and enter the open (RTH) of the following day. Assume you can pick the direction reasonably well.

    My question is, How do you backtesters deal with this ....say in Tradestation?

    Michael B.