Maximum Adverse Excursion: Analyzing Price Fluctuations for Trading Management
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More About This Title Maximum Adverse Excursion: Analyzing Price Fluctuations for Trading Management
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The first comprehensive guide on maximum adverse excursion -- apowerful new tool for dramatically lessening trading risks
"Trading successfully, like everything else, is built upon solidpreparation. It is the well-prepared individual who will be able tocope in today's competitive market. John Sweeney's Maximum AdverseExcursion will provide you with the steps to perform the analyticalreview of your trading system that you should undertake before youever risk your capital." -- Thomas Hartle, Editor TechnicalAnalysis of Stocks & Commodities magazine
"Maximum Adverse Excursion deals with a much overlooked subject:how to minimize losses. If every trader took John Sweeney's adviceand learned how to minimize losses before trying to make profits,they would be financially ahead." -- Martin J. Pring, President TheInternational Institute for Economic Research
"John Sweeney has done it again. As with Campaign Trading, he takesa complex set of ideas and explains them in a simple,easy-to-understand manner, in a form that traders can use to helpthem make informed and profitable buy-sell decisions." -- CliffordSherry, PhD, author The Mathematics of Technical Analysis
Most successful traders have a "sixth sense" that alerts them toloss points and amounts. But what happens when intuitionfails?
When the potential loss incurred on a trade is significant, youneed more than guesswork. But is it possible to estimate the losspoint accurately--quantitatively? With maximum adverse excursion(MAE), the answer is a resounding "YES". This innovative method ofrisk management enables traders to steer clear of potentiallydevastating results by pinpointing loss points before implementingtrading decisions. Now, in the first book to provide an in-depthexamination of this vital trading tool, John Sweeney, MAE developerand Technical Editor of the highly regarded Technical Analysis ofStocks & Commodities magazine, takes you step by step throughits various intricacies.
In this comprehensive and accessible reference, Sweeney shows howthe key to successful MAE implementation lies in determiningwhether there is any consistency in market behavior. By measuringand charting price excursion from a set point of entry, you canestablish--quickly and easily--whether prices show consistentbehavior over a finite time frame. If, in fact, some regularity,some pattern in price changes is revealed, you can then exploit itwhile in the trade. The bottom line is a more reliable system fordiscerning whether your trade is going in your direction or not,and--in either case--what likely events are next. By replacingguesswork with statistical descriptions, you can objectivelydetermine when to cut off a loser, or put in a protective stop . .. or take profits.
Maximum Adverse Excursion can give you "the elusive edge thattraders seek . . . a line all your own, from which profits can flowwith minimized, quantifiable risk." This comprehensive, accessiblereference gives you the tools you need to employ MAE successfully,including detailed information on:
* Defining and calculating adverse, minimum, and maximum favorableexcursion (MinFE and MaxFE)
* Displaying MAE--aggregation, frequency diagrams, stop size
* Determining specific capital requirements--capital conservation,defining drawdowns
* Profit definition by stop level--profit tradeoffs, profit curves,interpretation
* Impact of volatility changes--tweaks, changing stops by range orvolatility
* Trading management--portfolio impacts, day-to-day management,elaborations
Complete with sample calculations, practical examples, and EXCELprograms for creating your own charts, this is the definitive guideto using MAE effectively--and profitably.
"Trading successfully, like everything else, is built upon solidpreparation. It is the well-prepared individual who will be able tocope in today's competitive market. John Sweeney's Maximum AdverseExcursion will provide you with the steps to perform the analyticalreview of your trading system that you should undertake before youever risk your capital." -- Thomas Hartle, Editor TechnicalAnalysis of Stocks & Commodities magazine
"Maximum Adverse Excursion deals with a much overlooked subject:how to minimize losses. If every trader took John Sweeney's adviceand learned how to minimize losses before trying to make profits,they would be financially ahead." -- Martin J. Pring, President TheInternational Institute for Economic Research
"John Sweeney has done it again. As with Campaign Trading, he takesa complex set of ideas and explains them in a simple,easy-to-understand manner, in a form that traders can use to helpthem make informed and profitable buy-sell decisions." -- CliffordSherry, PhD, author The Mathematics of Technical Analysis
Most successful traders have a "sixth sense" that alerts them toloss points and amounts. But what happens when intuitionfails?
When the potential loss incurred on a trade is significant, youneed more than guesswork. But is it possible to estimate the losspoint accurately--quantitatively? With maximum adverse excursion(MAE), the answer is a resounding "YES". This innovative method ofrisk management enables traders to steer clear of potentiallydevastating results by pinpointing loss points before implementingtrading decisions. Now, in the first book to provide an in-depthexamination of this vital trading tool, John Sweeney, MAE developerand Technical Editor of the highly regarded Technical Analysis ofStocks & Commodities magazine, takes you step by step throughits various intricacies.
In this comprehensive and accessible reference, Sweeney shows howthe key to successful MAE implementation lies in determiningwhether there is any consistency in market behavior. By measuringand charting price excursion from a set point of entry, you canestablish--quickly and easily--whether prices show consistentbehavior over a finite time frame. If, in fact, some regularity,some pattern in price changes is revealed, you can then exploit itwhile in the trade. The bottom line is a more reliable system fordiscerning whether your trade is going in your direction or not,and--in either case--what likely events are next. By replacingguesswork with statistical descriptions, you can objectivelydetermine when to cut off a loser, or put in a protective stop . .. or take profits.
Maximum Adverse Excursion can give you "the elusive edge thattraders seek . . . a line all your own, from which profits can flowwith minimized, quantifiable risk." This comprehensive, accessiblereference gives you the tools you need to employ MAE successfully,including detailed information on:
* Defining and calculating adverse, minimum, and maximum favorableexcursion (MinFE and MaxFE)
* Displaying MAE--aggregation, frequency diagrams, stop size
* Determining specific capital requirements--capital conservation,defining drawdowns
* Profit definition by stop level--profit tradeoffs, profit curves,interpretation
* Impact of volatility changes--tweaks, changing stops by range orvolatility
* Trading management--portfolio impacts, day-to-day management,elaborations
Complete with sample calculations, practical examples, and EXCELprograms for creating your own charts, this is the definitive guideto using MAE effectively--and profitably.
English
JOHN SWEENEY is former Vice President, Diversification, SeafirstBanking Corporation, a Northwest bank holding company. A traderhimself, he is the Technical Editor of Technical Analysis of Stocks& Commodities magazine.
English
The Idea.
Defining Max Adverse Excursion.
Displaying MAE.
Defining Profit by Bin.
Impact of Volatility Changes.
Runs Effects.
Martingales.
Trading Management.
Appendices.
Index.
Defining Max Adverse Excursion.
Displaying MAE.
Defining Profit by Bin.
Impact of Volatility Changes.
Runs Effects.
Martingales.
Trading Management.
Appendices.
Index.
