Research method
Maximum adverse excursion
Maximum adverse excursion is a canonical archive-taxonomy method; this registry entry defines its inputs, output and use boundary.
- Output
- Research filter
- Input
- Account equity, volatility, stop distance and exposure
- Horizon
- Before entry and throughout the position
- Best use
- Keep a loss or exposure decision bounded before a trade is placed.
- Input: Account equity, volatility, stop distance and exposure.
- Output: filter.
- Use boundary: Keep a loss or exposure decision bounded before a trade is placed.
The graph1
How the method is built, and where it has been read
Depends on
Often reviewed together
Stop-loss order9 readings
Read in the archive19 readings
1987Evaluating a black-box pyramiding routine with adverse excursion1991Set the first stop from a capital-scaled MAE histogram1991Opening gap fades bounded by excursion and time stops1991Bound losses with MAE, stops, and drawdown limits1991Stop bounds versus added system parameters1992Multi-year evaluation of MAE-bounded mechanical rules1992Moving-average add-ons could not be separated by maximum adverse excursion1992Reversing at maximum-adverse-excursion stops after failed entries1992Evaluating maximum-adverse-excursion stop reversals with short time stops1992A range-reentry case study with a shared adverse-excursion stop1992Failed range trades as breakout-system tests1998Fitted moving averages for trend add-on entries1998Monthly changer rules specified as one mechanical procedure2002An excursion cutoff test for stops and profit exits2003Livestock calendar spreads during a commodity-index roll2006Cost-aware excursion filters for stops and holding period2006Constructing peak-excursion filters for stops and size2017Staged stops, drawdown limits, and mechanical risk survival2019Pair-spread layer limits and event shocks
This registry entry describes a research method. It is not investment advice and does not make a performance claim.