MAE and MFE - Trading Software

MAE and MFE

allan nathan
2012-10-02 15:19:17

Hi

The report graphs and tables are great,but I have one suggestion.Fot the MAE,it would be much more informative if you used a scatter diagram that
had the Profit on the y axis and the drawdown percent on the X axis.For profitable trades,they would be colored gree,and for unprofitable trades,they would be red.
This way you could see clearly what the max advesre excursions were for winners vs losers and what levels were significant..Just a thought.

Allan

QuantShare
2012-10-02 19:37:04

Great suggestion. It will be implemented in the next release.

John Gilmour
2012-10-17 11:52:23

Hi, I think this is also a good idea.

I already exported data from the trading system to files so I could
format MAE data as per the books by Stridsman, Sweeney and Tomasini/Jaekle using an external
plotting program.

As well as the scatter plot, another useful plot is a histogram with MAE on the x axis, and number (and/or total profit) of
profitable and unprofitable trades on the y axis. The bars are colour coded green (for profitable) and red (for unprofitable).

I can send a JPEG (*) showing how these plots look. They can be really helpful in determining where to place stop losses.

* There doesnt seem to be a way to attach a file to my post. I thought about including the JPEG as a trading object, but I thought
you might not like me to do this

QuantShare
2012-10-18 16:40:43

Hi John,

You can send the JPEG file to support [at] quantshare [dot] com

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