Not exactly. It gives MAE and MFE only up to the exit point. So yes, it is after entry, but only until exit. I want to know what the numbers would have looked like had I not exited. Great! But sadly, I have no coding skills, so just continue to do this manually.
* not necessarily you can run MAE or MFE as long as your software allows until a chosen time stamp. All those two metrics do is measure the max up and down side from trade entry.you don't necessarily need an exit. But again I see what you mean. What I have done is calculate the MAE and MFE in the conventional sense, as you suggested, which is until trade exit. Then I have a second routine that runs from exit for a certain time span. And I agree that there is valuable information content in this side step.
That's interesting actually. I'm suing Sierra Charts and I don't think I have this feature. I would much prefer it not just running forward based on time, but rather to just tell me if it hits stop or target when I give it these two variables, but this would certainly be better than nothing. Lately there are discussions here about how trade management isn't an edge, and I disagree. Maybe its a matter of semantics, not sure, but I would be willing to bet that if you take any average trader's trades, and run some stats, you would more than likely see a set of stop and target parameters that would lead to more profitable results than whatever they were actually doing in real time. I think it takes an incredibly talented and experienced trader to gauge market sentiment and know to exit a trade early, thinking they are saving money by not hitting a full stop. For each time you think you saved a point or two, I'm sure that you've also exited a trade that then ended up working. And honestly, I'm not even sure if an expert trader can do this. Reading order flow maybe helps for the next few seconds, but once again, sometimes it works, sometimes it doesn't, and if all you ever do is exit trades to save money, you're also cutting off profits probably 50% of the time as well.
Good points, made. I tend to agree but one danger is always to overfit. Entries and exits will never be perfect even the most seasoned traders will tell you that. But that does not mean there is no room for improvement. More analytical data to analyze is generally better than less as long as someone knows what he is doing.