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MAE / MFE Calculation

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    MAE / MFE Calculation

    In real time trading mode (as opposed to backtesting)--are MAE and MFE calculated from the time of the trade or from the bar itself? In other words is the 'worst price' tracked from the time of my entry or from the beginning of the bar I enter the trade on?

    I assume that whatever this answer is applies to the exit as well?
    Jim-Boulder
    NinjaTrader Ecosystem Vendor - Elephant Tracks

    #2
    Jim, this depends on your individual entry time / price - http://www.ninjatrader-support.com/H...verageMAE.html
    BertrandNinjaTrader Customer Service

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      #3
      Clarification

      Just to make sure I undertsand what you mean---the pricing used to calculate MFE and MAE only include prices traded between the time you enter a trade and the time you exit a trade---any price action before entry and after exit is not included, right?

      Thanks again for the great support.
      Jim-Boulder
      NinjaTrader Ecosystem Vendor - Elephant Tracks

      Comment


        #4
        Correct, this would be the regular MAE definition - adverse / favorable movement tied to your individual trade entry / exit, how efficient you were in capturing what's available.
        BertrandNinjaTrader Customer Service

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