The Maximum Favorable Excursion Strategy by D. Stendahl and L. Zamansky
ARTICLE SYNOPSIS ...The Maximum Favorable
Excursion Strategy
by David C. Stendahl and Leo J. Zamansky
Maximum favorable excursion (MFE) is the peak profit that
a trade earns before the trade is closed out. Reviewing the
performance of a trading system allows us to measure the
tendency of the MFE of the trades. This article explains how
to use the information to enhance profitability.
Maximum favorable excursion
(MFE), a concept originally created
by John Sweeney to mea-sure
the distinctive characteristics
of profitable trades, can be
used as part of an analytical
process to enable traders to distinguish
betwee...
AUTHOR: D. Stendahl and L. ZamanskyDATE: MAR 1999SUBJECT: System Design