Support Board
Date/Time: Sat, 30 Nov 2024 06:45:39 +0000
[Programming Help] - MFE/MAE for Market + AVG MAE + Net Change + Avg Yearly Range
View Count: 870
| [2020-12-04 16:56:01] |
| User377189 - Posts: 172 |
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I am looking to calculate the following Four: 1. I want to represent max upside compared to the max downside over a given period for a given market • The Inputs would be – Maximum favorable excursion (MFE) from a specified time, maximum adverse excursion (MAE) over the same period. • number of total ticks of the MFE in one column and the total number of ticks in the MAE in another column • look-back period in this regard, for the last hour, last day, last week, month 2. Net change over MAE or MFE for a market over a given period of time • Inputs – The numerator of this ratio is the net change in price, and the denominator is the maximum excursion in the opposite direction of the net change For example, if EUR/USD opens at 1.1350, trades down to 1.1325, and then rallies back to 1.1360, it would be up 10 pips on the day but would have had 25 pips of or MAE. Therefore, the return/ MAE score for EUR/USD on the day would be 10/25, or 0.40. for markets to the downside. Say the euro opens the day at 1.1350 and trades up to 1.1375 before immediately reversing and trading down to 1.1300. In this case the net change on day is a loss of 50 pips, whereas the MFE was a rally of 25 pips. The return/MFE ratio is therefore 50/25, or 2.0. 3. Calculate Average of Maximum Adverse Excursion (when net change is positive) or Maximum Favorable Excursion (when net change is negative) 4. Average Yearly Range (rolling 3 years) |
| [2022-12-17 00:47:05] |
| User624595 - Posts: 207 |
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Were you able to do this?
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