Can We Use MAE, MFE & ETD To Improve Strategy Performance? (Part 2)
This is a continuation of a previous post/research question where we looked at the trade statistics MAE, MFE and ETD to see if they could help us to find the holy grail of trade strategy. After defining each metric (see the picture below), we applied a logic to how we would use each one in the application of trade orders.
The first step in the logic was…