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There is a lot involved in this assumption. Many (like myself) who think in terms of 1R losses and multi-R wins and 50/50 or lower win/loss percentages will say, "but it's necessary to let your winners run their course in order to achieve the positive expectacy of the system". Yes, from that point of view it is. But what if your system could hop off a winning trade and into another equal probability winning trade? Maybe you could avoid large open equity drawdowns? Maybe you reduce market exposure and Max DD for an acceptable decrease on another performance variable like CAGR?

I find that MAE/MFE analysis is best done when time-capped eg. measured daily out to say 100 days. Measuring the MAE vrs MFE on something like QBE for the last five years probably isn't that useful as providing you bought sometime after June 2002 it doesn't matter what entry method you used, the MAE/MFE ratio is going to be stupendously high and skew the results.

ASX.G

<blockquote data-quote="theasxgorilla" data-source="post: 200706" data-attributes="member: 6099">There is a lot involved in this assumption.&nbsp; Many (like myself) who think in terms of 1R losses and multi-R wins and 50/50 or lower win/loss percentages will say, &quot;but it&#039;s necessary to let your winners run their course in order to achieve the positive expectacy of the system&quot;.&nbsp; Yes, from that point of view it is.&nbsp; But what if your system could hop off a winning trade and into another equal probability winning trade?&nbsp; Maybe you could avoid large open equity drawdowns?&nbsp; Maybe you reduce market exposure and Max DD for an acceptable decrease on another performance variable like CAGR?I find that MAE/MFE analysis is best done when time-capped eg. measured daily out to say 100 days.&nbsp; Measuring the MAE vrs MFE on something like QBE for the last five years probably isn&#039;t that useful as providing you bought sometime after June 2002 it doesn&#039;t matter what entry method you used, the MAE/MFE ratio is going to be stupendously high and skew the results.ASX.G</blockquote>

[QUOTE="theasxgorilla, post: 200706, member: 6099"] There is a lot involved in this assumption. Many (like myself) who think in terms of 1R losses and multi-R wins and 50/50 or lower win/loss percentages will say, "but it's necessary to let your winners run their course in order to achieve the positive expectacy of the system". Yes, from that point of view it is. But what if your system could hop off a winning trade and into another equal probability winning trade? Maybe you could avoid large open equity drawdowns? Maybe you reduce market exposure and Max DD for an acceptable decrease on another performance variable like CAGR? I find that MAE/MFE analysis is best done when time-capped eg. measured daily out to say 100 days. Measuring the MAE vrs MFE on something like QBE for the last five years probably isn't that useful as providing you bought sometime after June 2002 it doesn't matter what entry method you used, the MAE/MFE ratio is going to be stupendously high and skew the results. ASX.G [/QUOTE]

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