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How does NinjaTrader Calculate MAE and MFE?

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    How does NinjaTrader Calculate MAE and MFE?

    How does NinjaTrader calculate MAE and MFE in the performance reports? Particularly, in the backtester

    Does it calculate the MFE/MAE in a bar after the trade is exited? or are all calculations done once trade is exited. In other words after the exit will it still look for a MFE until the bar it is in is finished or does it log the highest point of the trade at exit. I ask because often I will enter an order with a hard stop and at a certain move in my favor it will move the stop to 1+ BE. Often when I look at backtester reports it will show the MFE went above my price for moving the stop to 1 +BE but then shows I was stopped out where my original hardstop was placed. This is not a problem as I understand the issues with backtesting. But it would be helpful to understand the logic NinjaTrader uses so I can interpret the results.

    Thanks

    #2
    For the equations used please bring up your Help Guide (press F1 in NinjaTrader) and search for the articles: "Average MAE" and "Average MFE".
    Josh P.NinjaTrader Customer Service

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