I would like to create a stop strategy based on the Maximum Adverse Excursion of an individual trade. I have seen threads on doing this on a portfolio level. I would like to do it on an individual trade level. So If I do a backtest of a strategy and see on the %MAE chart that I can cut out a lot of my losing trades at a % drawdown with a stop at a % level white not cutting that many gains. Does anyone have a script that would Help do that?
Discussion Thread, Portfolio Level % Drawdown stop:
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