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Table 1 is an example of the frequency distribution for the mid-figure (50) level. The table shows the MAE frequency for manageable trades, aggregated over 5-years, plus the London Open filtered version of that data.

Table 2 shows the MAE frequency for manageable trades for all the levels, collected together, aggregated over 5-years, plus filtered versions of this data for London Open, London Close and London Morning:

Exploiting, Order, Flow, Discretionary, Quant, Trading Systems, fx trader, forex chart 1Exploiting, Order, Flow, Discretionary, Quant, Trading Systems, fx trader, forex chart 1

Table 1 - MAE Frequency Distribution Showing Full Intraday and London Open Separately - 50 Level - 2011/15

Table 2 - MAE Frequencies - Full Intraday, London Open, London Close and London Morning Separately - All Levels - 2011/15

 

 

 

Favourable Excursion - MFE

How far can price normally move into profit for this strategy? If I increase the stop to give the trade more room to breathe, can this affect favourable excursion because the strategy normally needs a wider adverse margin before moving wider into profit?

The idea is that it will be possible to experiment with expectancy settings based on normal favourable price movements, helping, for example, to define scale-out parameters. For this test, the recorded MFE was set at 25 pips maximum – the quarter-cent boundary for intraday trading, although clearly price could move further.

Figure 1 shows the 5-year totals for favourable price movement for manageable, unrepaired trades only, for each of the stop loss (MAE) parameters. All levels are aggregated.

Exploiting, Order, Flow, Discretionary, Quant, Trading Systems, fx trader, forex fig-1Figure 1 - Favourable Excursion for Each of the Stop Loss Parameters (All Levels Included)

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