Support Board
Date/Time: Sat, 30 Nov 2024 05:40:05 +0000
[User Discussion] - Calculating MAE and MFE from trade activity logs
View Count: 846
| [2022-12-23 22:11:08] |
| yqz - Posts: 17 |
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Hi, I've been looking at the trade activity logs as a means to do self-evaluation of my trading. I noticed two columns named HighDuringPosition and LowDuringPosition. I was wondering if it's possible to use these two to calculate maximum adverse excursion (MAE) and maximum favorable excursion (MFE). Looking through the data, it seems that there are many blank values, so not all the necessary information seems to be included. Is there some way to fill in the missing values to make it possible to calculate MAE and MFE? I was thinking that an alternative would be to get the historical time & sales data for the time period of a trade and just find the high/low PnL for that time period. However, I've looked at (Time and Sales Window: Viewing Time and Sales on a Spreadsheet), but it doesn't seem to work when I try to load the study or load the saved file. When I load the study, the study is just a blank space. I can't seem to save the file as a .txt either. It just seems to be like saving a chart book. Thank you for your time. |
| [2022-12-27 22:43:13] |
| yqz - Posts: 17 |
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I noticed that there's a statistics tabs and some more details on this page (Trade Activity Log: Notes about Maximum Profit and Loss Fields) that explain how MAE/MFE are calculated. However, it doesn't explain the exact steps. I've tried looking through the data, but it seems that gaps in the information make it so that the MAE/MFE are simply approximations. Is it possible to look into the Sierra Chart source code to see how the information is derived?
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