Using Trade Excursions and Forward Returns to Evaluate Entries and Exits

Summary

The document describes a trade-history analysis that rebuilds trades from historical deals and reports metrics intended to assess entry and exit efficiency. Maximum adverse excursion (MAE) measures the largest move against a position while it is open, while maximum favorable excursion (MFE) records the largest move in its favor. These measures can help evaluate stop placement and whether exits surrender unrealized gains.

It also calculates returns at stated intervals after entry, along with the worst adverse move during the following week, and exports the results to a CSV file. The interval figures frame a hypothetical hold-time comparison; they do not show that holding for any interval would be a viable strategy. The description provides no sample results, validation details, or account of how gaps or incomplete price data are handled, beyond marking future periods that have not elapsed as unavailable.

Key ideas

• MAE measures the largest adverse price movement during a trade, and MFE measures its largest favorable movement.
• Time-based forward returns compare trade outcomes at specified intervals after entry.
• The one-week adverse measure records the worst move against the entry over that period.
• The CSV output supports review of trade-level outcomes, but does not by itself establish a profitable exit rule.
• The document gives no empirical results or validation details.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.