Profits MAE correlation
What does it mean for my trading system if the correlation between MAE and profits is negative (-1.0) but that for MFE and profits is positive(+1.0)?
Should I introduce a tight stoploss?...
Can you show your results ? I don't know MAE very well, but seems to me that if you introduce a tight stop you will have a lot of loss.
What does it mean for my trading system if the correlation between MAE and profits is negative (-1.0) but that for MFE and profits is positive(+1.0)?
Should I introduce a tight stoploss?...
MAE is an abbreviation of "Maximum Adverse Excursion". It is like the lowest point (basically shown in pips) of a trade before it is closed. So for example, If we buy EURUSD at 1.3000 and the trade goes negative by 200 pips (1.2800) and then comes back in profits, and you close it for 50 pips (1.3050), the MAE would be 200 pips (or low of the trade in terms of pips). Now see it for yourself, a trade goes negative by 200 pips and gets closed for 50 pips, of course, the risk-reward is not good and hence the MAE profit correlation will be negative.
On the other hand, MFE, which is "Maximum Favourable Excursion" is the opposite of MAE. For example, the trade goes negative only by 20 pips and then you close it for 200 pips profit, there will be positive correlation of MFE and profits.
Hope that helps. :)
MAE is an abbreviation of "Maximum Adverse Excursion". It is like the lowest point (basically shown in pips) of a trade before it is closed. So for example, If we buy EURUSD at 1.3000 and the trade goes negative by 200 pips (1.2800) and then comes back in profits, and you colse it for 50 pips (1.3050), the MAE would be 200 pips (or low of the trade in terms of pips). Now see it for yourself, a trade goes negative by 200 pips and gets closed for 50 pips, of course, the risk-reward is not good and hence the MAE profit correlation will be negative.
Hope that helps. :)
Maybe that helps, but that doesn't reply to the question ;-)
In MT5 backtesting results, we have Correlation MAE/Profit. ssn said he obtain a value of -1. Can you explain the meaning ? I can't (except to say the obvious, that MAE and profit are inversely correlated).
Maybe that helps, but that doesn't reply to the question ;-)
In MT5 backtesting results, we have Correlation MAE/Profit. ssn said he obtain a value of -1. Can you explain the meaning ? I can't (except to say the obvious, that MAE and profit are inversely correlated).
That's what I said above. If the loss withstood is greater than the outcome of trade, it would be a negative correlation (obviously). For more explanations, visit: https://www.mql5.com/en/forum/53/page13
- www.mql5.com
That's what I said above. If the loss withstood is greater than the outcome of trade, it would be a negative correlation (obviously). For more explanations, visit: https://www.mql5.com/en/forum/53/page13
Thanks for the link.
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Should I introduce a tight stoploss?...