Maximum adverse excursion: analyzing price fluctuations for trading management
When the potential loss incurred on a trade is significant, you need more than guesswork. But is it possible to estimate the loss point accurately - quantitatively? With maximum adverse excursion (MAE), the answer is a resounding "YES". This innovative method of risk management enables tra...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
New York [u.a.]
Wiley
1997
|
| Schriftenreihe: | Wiley trader's advantage series
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Zusammenfassung: | When the potential loss incurred on a trade is significant, you need more than guesswork. But is it possible to estimate the loss point accurately - quantitatively? With maximum adverse excursion (MAE), the answer is a resounding "YES". This innovative method of risk management enables traders to steer clear of potentially devastating results by pinpointing loss points before implementing trading decisions. Now, in the first book to provide an in-depth examination of this vital trading tool, John Sweeney, MAE developer and Technical Editor of the highly regarded Technical Analysis of Stocks & Commodities magazine, takes you step by step through its various intricacies. |
| Beschreibung: | XIV, 160 S. graph. Darst. |
| ISBN: | 0471141526 |
Internformat
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| 520 | 3 | |a When the potential loss incurred on a trade is significant, you need more than guesswork. But is it possible to estimate the loss point accurately - quantitatively? With maximum adverse excursion (MAE), the answer is a resounding "YES". This innovative method of risk management enables traders to steer clear of potentially devastating results by pinpointing loss points before implementing trading decisions. Now, in the first book to provide an in-depth examination of this vital trading tool, John Sweeney, MAE developer and Technical Editor of the highly regarded Technical Analysis of Stocks & Commodities magazine, takes you step by step through its various intricacies. | |
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Datensatz im Suchindex
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|---|---|
| adam_text | Contents
Chapter 1 The Idea 1
Experience 3
The Rule 4
The Data 5
Chapter 2 Defining Max Adverse Excursion 7
Adverse Excursion, Favorable Excursion 10
Tweaking Stops 15
Sample Calculations 16
Chapter 3 Displaying MAE 21
Aggregation 21
Frequency Diagrams 25
Chapter 4 Defining Profit by Bin 33
Profit Tradeoffs 33
Profit Curves 34
Interpretation 37
Chapter 5 Impact of Volatility Changes 41
Tweaks 41
Summary 62
xiii
xiv CONTENTS
Chapter 6 Runs Effects 63
Capital Conservation 63
Impact on a Particular Trading Tactic 64
Impact on Campaign Trading 74
Impact on Betting Strategies 83
Summary 84
_: Chapter 7 Martingales Fii*M,~/tuf^] / 85
Simple Martingale 87
Complex Martingale 88
Martingales on Crude Oil 93
Chapter 8 Trading Management 99
Portfolio Impacts 99
Day to Day Trading 100
Elaborations 104
Conclusion 106
/¦ _. i
Appendix A Computing MAE 107
Appendix B Computing MaxFE 112
Appendix C Computing MinFE 116
Appendix D Generating a Frequency
Distribution 119
Appendix E MAE for Shorts and Longs 123
Appendix F Computing Profit Curves 127
Appendix G Range and Volatility 133
Appendix H Range Excursion 138
Appendix I Martingales 145
Appendix J Applying Martingales to
Trading Campaigns 151
Index 157
|
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| id | DE-604.BV011531487 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:11:19Z |
| institution | BVB |
| isbn | 0471141526 |
| language | English |
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| physical | XIV, 160 S. graph. Darst. |
| publishDate | 1997 |
| publishDateSearch | 1997 |
| publishDateSort | 1997 |
| publisher | Wiley |
| record_format | marc |
| series2 | Wiley trader's advantage series |
| spelling | Sweeney, John Verfasser aut Maximum adverse excursion analyzing price fluctuations for trading management John Sweeney New York [u.a.] Wiley 1997 XIV, 160 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Wiley trader's advantage series When the potential loss incurred on a trade is significant, you need more than guesswork. But is it possible to estimate the loss point accurately - quantitatively? With maximum adverse excursion (MAE), the answer is a resounding "YES". This innovative method of risk management enables traders to steer clear of potentially devastating results by pinpointing loss points before implementing trading decisions. Now, in the first book to provide an in-depth examination of this vital trading tool, John Sweeney, MAE developer and Technical Editor of the highly regarded Technical Analysis of Stocks & Commodities magazine, takes you step by step through its various intricacies. Mathematisches Modell Investment analysis Mathematical models Risk management Mathematical models Securities Prices Mathematical models Wertpapieranalyse (DE-588)4124458-8 gnd rswk-swf Wertpapieranalyse (DE-588)4124458-8 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007761104&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Sweeney, John Maximum adverse excursion analyzing price fluctuations for trading management Mathematisches Modell Investment analysis Mathematical models Risk management Mathematical models Securities Prices Mathematical models Wertpapieranalyse (DE-588)4124458-8 gnd |
| subject_GND | (DE-588)4124458-8 |
| title | Maximum adverse excursion analyzing price fluctuations for trading management |
| title_auth | Maximum adverse excursion analyzing price fluctuations for trading management |
| title_exact_search | Maximum adverse excursion analyzing price fluctuations for trading management |
| title_full | Maximum adverse excursion analyzing price fluctuations for trading management John Sweeney |
| title_fullStr | Maximum adverse excursion analyzing price fluctuations for trading management John Sweeney |
| title_full_unstemmed | Maximum adverse excursion analyzing price fluctuations for trading management John Sweeney |
| title_short | Maximum adverse excursion |
| title_sort | maximum adverse excursion analyzing price fluctuations for trading management |
| title_sub | analyzing price fluctuations for trading management |
| topic | Mathematisches Modell Investment analysis Mathematical models Risk management Mathematical models Securities Prices Mathematical models Wertpapieranalyse (DE-588)4124458-8 gnd |
| topic_facet | Mathematisches Modell Investment analysis Mathematical models Risk management Mathematical models Securities Prices Mathematical models Wertpapieranalyse |
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