One of the statistics I track is MFE and MAE.
Maximum Favorable Excursion (MFE) – what was the maximum number of ticks in profit that the trade had before the trade closed.
Maximum Adverse Excursion (MAE) – what was the maximum number of ticks in loss that the trade had before the trade closed.
I use these stats slightly differently. Instead of tracking the MFE and MAE during the duration of the trade, I continue tracking these stats on my trades until they make the next pivot on my trading time frame of 5min.
I do this to track how well I am setting my targets and whether they can be adjusted further away to maximise my profits.
Why do I do it this way?
As my targets tend to be at the next levels on my trading time frame and at my current size I do not leave a runner position on. I found that tracking MFE/MAE during the trade duration was telling me that I was taking the max profit during my trade but not what I was potentially leaving on the table, if I had set my targets further away.
This is last 150 trades on Bund.
Note that on the losers, this is not the draw down of the actual trade but the the numbers of ticks from entry to the next pivot. My stop is 5-8 ticks and I track any violations of that on a different sheet. Which is very rare.
The maximum MFE and MAE is of limited use in my opinion.
More of interest is the the standard deviation and the mode / poc of the MFE and MAE of the winners.
First how far does the trade goes against me?
The mode / poc of the adverse tick movement is 0 and the std deviation of the adverse movement is 2 ticks.
This tells me that I am choosing setups / entry where price quickly goes in my favour.
It also tells me that if price goes more than 2 ticks against me, then I am either early or the trade is likely to stop out.
How far does price goes in my favor until it makes a pivot on the 5min.
The mode / poc of the positive tick movement is 10 ticks and the std dev is 12 ticks.
I have used this to choose for my first target a 5min within 10 ticks of my entry and the second target is within 12 ticks.
This information fits in with the stats for a 5 min rotation in the Bund which are 12 ticks mode and 18 ticks standard deviation.
For every 100 trades I re do this calculation to see if my first 2 targets needed to be adjusted.
But when it comes to adding size, the question is for me, do i add a runner or do i just increase size get out at current targets levels.
For this I need more data.
Going forward I am going to be collecting data based off the MFE and MAE on the 15min time frame. Entries are still on the 5min.
I will use the mode and standard deviation of the MFE and MAE of these 15min rotations and compare that to my current targets.
I will use the expectancy formula of (average win x win percentage) – (average loss x loss percentage) to compare increased size at my current targets and stops against targets based on the 15min rotations.
This is the first 26 winners
Okay, a decrease in the mode to 4 ticks and an increase in the standard deviation to 16 ticks. But this is a too small sample size to make any decisions on.
I have also started to track the reactions to levels dependent on how large the rot is on the 5min / 15min and 60min time frames.
Again not enough sample data to make any decisions but initial thoughts are that fading a common 15min rot pullback has more potential room for profit than fading a 15min standard deviation rot.
I also tracking the 15min trend and 60 min trend to see if there is a correlation
Once I have a minimum of 100 trades based on this data, I will analysis this to see how it will effect my expectancy and whether I should alter my targets or have a third target.