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MAE and MFE of a Trading System

by QuantShare, 3967 days ago
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Maximum Adverse Excursion (MAE) and Maximum Favorable Excursion (MFE) for individual trades are available under the "Trades" and "MAE/MFE" tabs of the trading system report.

The current money management script calculates the MAE and MFE for the whole trading system.

The calculation is based on the highest/lowest portfolio equity compared to the initial equity.

The "OnEndPeriod" event of the MM script is used to calculate two time-series metrics (MAE and MFE). You can add them on the report chart by dragging them from the time-series list and dropping them on the chart.

The "OnEndSimulation" event of the MM script is used to calculate the final MAE and MFE measures for your trading system. The values can be found under "Statistics" tab of the simulation report.



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Type: Advanced Money Management

Object ID: 1411


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Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.