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MAE and MFE .... how to

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    MAE and MFE .... how to

    Good Evening,

    I know I'm a bit late to the party on these two Trading metrics, but I'm glad that I finally learned about them today and am wondering how one goes about finding these 2 metrics for their own trading system
    AND..... How do other traders implement the numbers that their own trading systems given them , via the MAE and MFE ?

    I am thinking that a System's MAE/MFE could be configured and calculated, in the same way that a Future's ADR is calculated..... by taking 3 different LookBack periods ( Current day, 10 day and 20 day ) for example
    And then getting the ADR from those three , and plotting the ADR high and low for the next days trading .
    Can the MAE/MFE be calculated the same way ?

    OR

    Do you have to to run simulated backtesting on actual entries you have taken over a certain number of trades .... 100 trades?
    500 trades ?
    1,000 trades ?

    Thanks for any and all help and input - Michael

    #2
    Hello mdsvtr,

    Thank you for your post.

    You would need to performance of the trades. NinjaTrader automatically runs a backtest on the historical bars when you enable the strategy, this information can then be accessed via the TradeCollection. You would need to access it when Historical is true.

    You can find more information at the following link: http://ninjatrader.com/support/helpG...collection.htm

    Historical: http://ninjatrader.com/support/helpG...historical.htm

    Please let me know if I may be of further assistance.
    Patrick H.NinjaTrader Customer Service

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