Calculate entry and exit accuracy using MAE and MFE values

See:
https://strategyquant.com/forum/topic/4633-better-use-of-mae-and-mfe-in-sq4/#post-137028



Some details on what is required to analyse entry and exit fitness:


http://www.automated-trading-system.com/e-ratio-trading-edge/



Example calculation:

Assume the following:
- Enter long at price of 100
- Market moves down to a price of 90
- Market moves up to a price of 130
- Exit at a price of 110

Entry Efficiency is Calculated as:

(maximum price seen - entry price) / (maximum price seen - minimum price seen)
= (130 - 100) / (130 - 90)
= 75%
= The entry took 75% of the trade range

Exit Efficiency is Calculated as:

(exit price - minimum price seen) / (maximum price seen - minimum price seen)
= (110 - 90) / (130 - 90)
= 50%
= The exit took 50% of the available trade range

Total Efficiency is Calculated as:

(exit price - entry price) / (maximum price seen - minimum price seen)
= (110 - 100) / (130 - 90)
= 25%
= The trade represented only 25% of the trade range

   • The formulas are reversed for short