MFE / MAE / BSO

[workin...@gmail.com]

Hello,

it will be nice to provide sample to calculate MFE / MAE / BSO of each trade using Zipline

MAE - Maximum Adverse Excursion is the maximum draw down the trade had before the trade was closed.

MFE - Maximum Favorable Excursion is the maximum paper profit the trade had before the trade was closed. 

BSO: Best Scale Out. The closer your BSO is to the MFE, the better and more efficient your Exit strategy is… basically, not leaving too much money on the table.

  

http://trading-journal-spreadsheet.com/faqs/mfe-mae-bso/

http://www.traderslaboratory.com/forums/trading-markets/6049-looking-beyong-pnl-mae-mfe.html

Kind regards

Working4coins

[Eddie Hebert]

Working4coins,

Added an issue to keep track here,
https://github.com/quantopian/zipline/issues/189

It's a good idea to include this in the example suite, but can't promise
any timeline on crafting an example.
Definitely willing to take a pull request for it.

- Eddie

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