MAE Graphs-What the hell is wrong with NinjaTrader?

[Eddy-2d]

What I typically read off the MAE and MFE charts is something like this;

Trade no. XXX made a loss of $0.002 after an MAE of $500.00. B-U-L-L.
Could NT kindly advise us on how to read their MAE charts as they have stubbornly decided not to alleviate their users' headaches by even addressing this topic satisfactorily at least once.
Its like this- my P/L ranges between $0 and $2 while MAE ranges between $0 and $1500.
How am I going to decide on a resistance level as something like $300 when my profit/loss is only between $0 and $2???? Do their developers really understand this is meant to be a trading platform? People are trying to make money. NOT TO BE CONFUSED. Apparently Ninjatrader programmers dont even know the uses of MAEs and MFEs. This clumsy output method of MAE in dollars(/ their refusal to allow us the to view our MAEs in our desired modes) is one of those things making TS2000i better than NT6.5 after all these years! It has not even been addressed in your NT7's release!

[NinjaTrader_JoshP]

Eddy,

I have already answered your question in the email you sent in. Here it is again for your convenience.

The graph is read like this: it plots the excursions vs the PnL factor per trade. The graph is independent of the number of shares you are trading and is just using entry/exit price to determine PnL and excursion is determined by the definitions Bertrand provided.

Many of our users use MAE and MFE quite successfully.

[r2kTrader]

I feel your pain. You might want to just trade a single lot, forward test a bunch of trades, and try to go off that.

I think what you are saying is that you might scale into a "position" but the MFE MAE will give you the result for each lot you add or take down. So it's tough to get a real picture of what your "position" did.

I might not understand this correctly, but that is my take.

I have found the MAE/MFE helpful, but you have to think it through. It could definitely use some improvement. Max Drawdown is not good enough for the real world :-(

NT really got whacky using MAE to mean two things. One on the chart and the other on the performance summary (average verses adverse).

What I typically read off the MAE and MFE charts is something like this;

Trade no. XXX made a loss of $0.002 after an MAE of $500.00. B-U-L-L.
Could NT kindly advise us on how to read their MAE charts as they have stubbornly decided not to alleviate their users' headaches by even addressing this topic satisfactorily at least once.
Its like this- my P/L ranges between $0 and $2 while MAE ranges between $0 and $1500.
How am I going to decide on a resistance level as something like $300 when my profit/loss is only between $0 and $2???? Do their developers really understand this is meant to be a trading platform? People are trying to make money. NOT TO BE CONFUSED. Apparently Ninjatrader programmers dont even know the uses of MAEs and MFEs. This clumsy output method of MAE in dollars(/ their refusal to allow us the to view our MAEs in our desired modes) is one of those things making TS2000i better than NT6.5 after all these years! It has not even been addressed in your NT7's release!

[Eddy-2d]

I think you have to divide the MAE/MFE results by 100,000 to get the currency reading you want.
I've got a new problem though;

I have decided I want my trading positions to reverse at a certain level of adverse excursion (or loss) e.g. $1000.

I would expect that if I set the reversal point at $1000 there would be no trades making a loss greater than $1000 on the MAE chart. Somehow, there are!

Can you tell me what I'm doing wrong?
Do you reverse your trades as well? With Ninjascript? In backtests?

[r2kTrader]

It sounds like you are trading Forex and that opens a can of worms for me.

I would suggest you start by doing this to sort your logic out. Use a futures contract like YM or ES. Then running some trades through building a sample of trades. Do not use any stops or profit targets. Just use EnterLong and EnterShort for your signal so you just get closed out on the position naturally.

Then check the distribution chart to see what's up. (use market replay for all this. You will need at least 1 recorded session. ) Start with the MAE for now. Just get the highest value.

Now set a stop loss to 5 ticks below that value. Re-run your market replay. That stop should get hit and ALSO represent the worst MAE for that sample.

My thought is that this has something to do with price conversion and decimals landing in the wrong place somewhere. I wouldnt' begin to speculate. For now, I would reduce the problem down as per above and work your way backwards.

After this is done, you can then isolate whether it's specific to currency or an overall issue.

It's pain, but you have to go through this in order to assure yourself. Otherwise, you could spend hours going in circles. Process of elimination is the cure here I think

I think you have to divide the MAE/MFE results by 100,000 to get the currency reading you want.
I've got a new problem though;

I have decided I want my trading positions to reverse at a certain level of adverse excursion (or loss) e.g. $1000.

I would expect that if I set the reversal point at $1000 there would be no trades making a loss greater than $1000 on the MAE chart. Somehow, there are!

Can you tell me what I'm doing wrong?
Do you reverse your trades as well? With Ninjascript? In backtests?

[r2kTrader]

Also, start off with a single unit whenever you test. Reduce the equation.

UPDATE:

I didn't test this or think it through. It's just an idea. Not sure if this is what you are thinking about.

[FONT=Courier New][SIZE=2][COLOR=#008000][FONT=Courier New][SIZE=2][COLOR=#008000][FONT=Courier New][SIZE=2][COLOR=#008000]// Reverse from Long to Short if MAE is over 900[/COLOR][/SIZE][/FONT]
[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff]if[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2] (Position.MarketPosition == MarketPosition.Long && Position.GetProfitLoss(Close[[/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#800080][FONT=Courier New][SIZE=2][COLOR=#800080][FONT=Courier New][SIZE=2][COLOR=#800080]0[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2]], PerformanceUnit.Currency) < [/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#800080][FONT=Courier New][SIZE=2][COLOR=#800080][FONT=Courier New][SIZE=2][COLOR=#800080]-900[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2]) [/SIZE][/FONT]
[SIZE=2][FONT=Courier New]{[/FONT][/SIZE]
 
[SIZE=2][FONT=Courier New]EnterShort();[/FONT][/SIZE]
 
[/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2]}[/SIZE][/FONT]
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