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Strategy Analyzer - Trade Tab - MAE / MFE
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Strategy Analyzer - Trade Tab - MAE / MFE
I assume the columns for "Avg MAE" and "Avg MFE" in the Trades tab of the Strategy Analyzer are actually just the MAE/MFE ? If so, they should probably just be labelled MAE / MFE.Tags: None
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Hi Patrick,
I don't mean to be difficult, but for a given trade there is the "Maximum Adverse Excursion" and the "Maximum Favorable Excursion". There is no average anything. I'm not sure why it is labeled as such. I can understand if you were calculating these numbers for the strategy as a whole (like the summary page) and averaging each individual MAE/MFE to come up with an average for the strategy, but that isn't the case when looking at the trade detail report. Additionally I have found some discrepancy with these numbers but I haven't been able to narrow it down as of yet. When I do I will provide a reproducible example.
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