Accessing the MFE value of a single trade

[guillembm]

Hello,

Is it possible to know the MFE value of a single trade through TradesPerformance or similar?

[NinjaTrader_PaulH]

Hello guillembm,

Thanks for your post.

Yes, the MAE and MFE are available on a per trade basis in the "Trades" tab of the account performance in NinjaTrader7.

[guillembm]

Sorry, I meant programmatically in a strategy

[NinjaTrader_PaulH]

Hello guillembm,

Thanks for your reply.

Not directly but for the MFE per trade you can create a routine to do this by checking the MAX() Values of the Highs over the period of the trade (for a long) and then compare that to the entry price of the trade. For a short trade check the MIN() of the lows again against the entry price.

[guillembm]

I understand, but the problem is that I am developing a new optimizer and I need to retrieve this data. Can I conclude that it cannot be done in the optimizer?

[NinjaTrader_Jesse]

Hello guillembm,

In NT7 this does not seem to be possible. For this concept NT8 would allow you to access this data. The newer genetic optimizer type has syntax in it to collect SystemPerformance which you could then refer to the MFE values in that object. In NT7 the performance of the optimizer is handled differently and does not use the performance collections a strategy would internally. You would otherwise need to manually calculate any performance values based on the available data in the optimizer type.

I look forward to being of further assistance.