MAE, MFE, ETD statistics

[elitetradernyc]

Hey guys, I've got a swing trading system where I buy a position at once and scale out of the position. Just wondering, if there is any room for improvement based on these statistics, how do I interpret them?

Average MAE -2.61%
Average MFE 9.42%
Average ETD -5.85%

[NinjaTrader_ChelseaB]

Hello elitetradernyc,

Thanks for your note.

Below is a link to Traderpedia explaining why the MAE is useful. The MFE (favorable) will be the same in the profit direction.
http://www.trade2win.com/traderpedia...erse_excursion

Please let me know if this does not answer your inquiry.

[koganam]

Hey guys, I've got a swing trading system where I buy a position at once and scale out of the position. Just wondering, if there is any room for improvement based on these statistics, how do I interpret them?

Average MAE -2.61%
Average MFE 9.42%
Average ETD -5.85%

1. If your MAE is 2.61%, it means that a disaster stop at 5.22% (2 * MAE) will be very unlikely to be hit.
2. If MFE is 9.42%, you should probably be out of half the position at about 9% gain, then move the stop to 4.2% as a profit stop (i.e., 9.42% - the 5.22% disaster stop distance, as that is the distance that it is unlikely to hit).
3. Either exit some more (another half of the then remaining position?) when you hit the MFE that is hit only 25% of the time.
4. Trail the last portion, with whatever tick quantum that is comfortable to you.

[dafonseca]

What MAE MFE stands for and where I can find detailed info on these?

[NinjaTrader_ChelseaB]

Hello dafonseca,

MAE is an abbreviation for Maximum Adverse Excursion.
MFE is an abbreviation for Maximum Favorable Excursion.

You can read about these and various other Statistical Definitions in our help guide from the following link.
http://www.ninjatrader.com/support/h...efinitions.htm

Below are links to some internet resources that discuss these.
MAE - http://www.trade2win.com/traderpedia...erse_excursion
MFE - http://www.bigmiketrading.com/wiki/t...able-Excursion


Let me know if this does not resolve your inquiry.