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- Thu Oct 09, 2003 7:24 pm
- Forum: Testing and Simulation
- Topic: Maximum Adverse Excursion
- Replies: 16
- Views: 17756
MAE
I found in testing futures systems that had performed well using just the system stops that trying to use MAEs as a way of lessening losses or improving an equity curve did not work. It did not improve the percentage of winning/losing trades or increase the profit factor. Taking profits with MFEs al...