Chart Maximum Adverse/Favorable Excursion

Description

Produces a scatterplot with one point per trade, with x-axis: absolute value of Drawdown (Adverse), or Run Up (Favourable), and y-axis: absolute value of Net Profit or Loss

Usage

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chart.ME(Portfolio, Symbol, type = c("MAE", "MFE"), scale = c("cash",
  "percent", "tick"), ...)

Arguments

Portfolio

string identifying the portfolio to chart

Symbol

string identifying the symbol to chart. If missing, the first symbol found in the Portfolio portfolio will be used

type

string specifying MAE (Adverse) or MFE (Favourable) chart type

scale

string specifying 'cash', or 'percent' for percentage of investment, or 'tick'

...

any other passthrough parameters, in particular includeOpenTrades (see perTradeStats())

Author(s)

Jan Humme

References

Tomasini, E. and Jaekle, U. Trading Systems - A new approach to system development and portfolio optimisation (ISBN 978-1-905641-79-6), section 3.5

See Also

perTradeStats for the calculations used by this chart, and tradeStats for a summary view of the performance

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