Hi Matthew. Would you consider posting "Max Profit" on each closed trade? Similar to how Maxx DD is displayed.
I agree. I intended to state that before, but guess I didn’t get around to it? It is also called “Maximum Favorable Excursion.” or MFE. It is useful in testing out possitble profit targets for a system, and is also a good analysis tool against the Max DD to see if the system is a pretender or contender. A good system’s MFE should generally easily outweigh its Max DD. Otherwise, you have another example of someone who refuses to take a loss…
OK. This will take a bit of doing, but I can see its value. I know things like this seem really trivial, but the programming and database management behind them is complicated. So I’ll try to get to it soon. I have a backlog of other suggestions, too. Don’t think I’ve forgotten about them. They’ll all get done, eventually. - MK
in a sense, it is as important as max DD (& risk).
If someone has a max drawdown a lot higher than their MFE, it is a huge indicator that there is something wrong with it.
Systems with a strong market advantage at LEAST should have similar MFEs & max DDs.
Otherwise, they smell like Hold & Hope…
It is always better to update MAE/MFE with exit prices to get a truer picture, because profits/losses may be hit intraday, but stops/limits may not be activated for some reason or other (always-in-the-market system or limit/stop order based scalping systems in a fast market, or exchange trading functions suspended due to terrorist attacks or systems that use options in-lieu of stops or TB/C2/TWS connection failure or lag time in C2 reporting a fill or quote errors that depends on the system vendors (who are busy trading) reporting the erroneous MAE/MFE (who has the time for all this BS?) etc).
Pal: You always argue that C2 should only pay attention to the final closing prices of trades – and never the intraday prices. I don’t agree with this. If you can find me a broker who will not issue you a margin call based on intra-day prices, then perhaps I will be convinced. Until then…
MAE & MFE are the extreme prices during the life of an open trade. Like, OHLC?? There are no variables or conditions that matter. Either follow the industry definitions, or everyone is left to their own interpretation.
Matthew,
Of course you are correct. Moreover, subscribers need to know
the worst case intraday. This has been standard in performance
reporting since Trade Station 1.0 circa 1990.
Once again the more conservative C2 is the better. Reporting
intraday performance is consistent with full disclosure. Don’t
let loose canon paper traders set the tone here.
