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MAE reported on Acct Performance clearly incorrect

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    MAE reported on Acct Performance clearly incorrect

    Hi - I entered a long trade on the ES, and within a few seconds, it ticked below my entry, at least -0.25pts. It went up from there and I closed my position within a few minutes. However, when I generated my Account Performance report it showed my MAE at zero.

    Questions:
    - I am using a volume chart, does this affect the internal calculations for MAE? Is MAE internally calculated based on the bar of the chart?
    - Shouldn't MAE be calculated based on the price for all time after initial trade entry?
    - Is there something I need to check in my user settings?

    I'm rather annoyed and concerned that such a key and marketed feature is not actually accurate.

    #2
    MAE (max. adverse excursion) is defined as |worst price trade reached – entry price|. You can find more information about this statistic within NinjaTrader 7 here:

    https://ninjatrader.com/support/help...efinitions.htm

    What version of NinjaTrader 7 are you using? Please provide the entire version number. This can be found under Help -> About (Example: 7.0.1000.X)

    What 'Mode' is selected for your Account Performance report?

    Could you provide a screenshot of both the Summary and Executions tab of your Account Performance report for review?

    I'd like to recreate what you're reporting, to do so, I'll need to know the following:
    • What time zone you're PC is set to
    • What instrument you were trading
    • The entry and exit times of the trade
    Patrick G.NinjaTrader Customer Service

    Comment


      #3
      Edit: Thanks, I have replied via email for privacy concerns and sent a few screenshots. I opened up a 150 tick chart and after the bar with my initial entry, at least 2 bars print (at least on my chart) which go 1 tick against me, so I think it is pretty clear the MAE should not be zero.
      Last edited by jtrading82; 04-16-2018, 08:22 PM.

      Comment


        #4
        After reviewing with jtrading82 via email, it was discovered that this is a known limitation of NinjaTrader 7 Account Performance reporting.

        In this trade, the price only moved one tick against the entry price. NinjaTrader 7 requires that at least two ticks against occur for an MAE > 0 to register.

        This does not occur in NinjaTrader 8.
        Patrick G.NinjaTrader Customer Service

        Comment


          #5
          Gee, thanks but it took 8 versions of NT before MAE is reported correctly? Can this be prioritized for NT7, I would think this is a showstopper bug.

          Do you have a list of "known limitations" for NT7?
          How long will NT7 be supported? If it is currently supported, shouldn't this be fixed?

          Thanks

          Comment


            #6
            This limitation will not be resolved in NinjaTrader 7. The 'fix' for this issue is more robust and reliable reporting in NinjaTrader 8. NinjaTrader 7 is no longer in active development as all of our efforts are focused in NinjaTrader 8.

            There is no publicly available list of NinjaTrader 7 limitations.

            No end date for support of NinjaTrader 7 has been scheduled. This will be dynamic based on client usage and connection technology API support. For comparison, NinjaTrader 6.5 was supported for an additional 5 years following the release of NinjaTrader 7. This question and many other common questions regarding NinjaTrader 8 and the move from NinjaTrader 7 are answered here:

            NinjaTrader 8 FAQ
            Patrick G.NinjaTrader Customer Service

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