I know I'm a bit late to the party on these two Trading metrics, but I'm glad that I finally learned about them today and am wondering how one goes about finding these 2 metrics for their own trading system
AND..... How do other traders implement the numbers that their own trading systems given them , via the MAE and MFE ?
I am thinking that a System's MAE/MFE could be configured and calculated, in the same way that a Future's ADR is calculated..... by taking 3 different LookBack periods ( Current day, 10 day and 20 day ) for example
And then getting the ADR from those three , and plotting the ADR high and low for the next days trading .
Can the MAE/MFE be calculated the same way ?
OR
Do you have to to run simulated backtesting on actual entries you have taken over a certain number of trades .... 100 trades?
500 trades ?
1,000 trades ?
Thanks for any and all help and input - Michael
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