MAE much greater than SL

[nicknamed]

Hi,
is it possible that I register many trades on CL with MAE like -860 while Stoploss is set to 500 USD? (in ticks it is -86 while SL is 50). I have several such trades and do not understand MAE, as how could it be that the trade got much lower than SL stopped it?

Data 7000 Volume Line Break 1 CL, date 8/27/2012. the only problem is the MAE as SL is reported adequately.
N.

[NinjaTrader_Joydeep]

Hello nicknamed,
Stop price is not the execution price but rather only a trigger price. The actual fill price will depend on the market condition (particularly true when its a stop market order). If you have gap up/down or have high volatility you can have bad fills.

I would suggest to further investigate the actual execution price and see what fill price you are getting.

[nicknamed]

on this CL NT7 reports: 27.8.2012 15:00:53 Entry for 96,71, Exit 27.8.2012 15:06:37 for 96,21. Stoploss set to 50 ticks. Loss -505 (incl comm.).

See attached files to prove that during the two minutes after this stoploss the MAE should be at maximum 96,71 - 96,14 = 57 ticks = 570 USD MAE, but NT reports 980 USD, why is that? The stoploss happened exactly at 50 ticks, so you can see -505 USD as commission is calculated in.
The info box reports data from the bar of trade exit.

Thank you
N.
PS. not that I have even now stupid questions, but with 335 posts I guess I would not ask about slippage.

[NinjaTrader_Joydeep]

Hello nicknamed,
Thanks for the screenshots.

MAE is the maximum loss suffered in the trade collections. Is it the only trade you have taken or there are other trades too.

To have a better understanding of MAE please refer here

http://www.trade2win.com/traderpedia/Maximum_adverse_excursion

[nicknamed]

Joydeep,

but what you sent me at the other website proves, as far as I understand it, that it links to single trade (what I am concerned of), not trade collections as you write about it. They even advice to use MAE for Stoploss

There are other trades around this trade, but I do not udnerstand much what MAE should be somehow combined with cummulative profit or loss as you indicate by saying "trade collections".

N.

[NinjaTrader_Joydeep]

Hello nicknamed,
There may be other trades which have a loss for 86 ticks. This may be due to a gap up/down etc.

Can you send the trade logs to support[AT]ninjatrader[DOT]com

• In Control Center click on the Strategies tab,
• Select the strategy you are running and right click on it.
• In the context menu click on Strategy Performace>Realtime + Historical
• In the new dialog click on the Trades tab
• Right click on the data grid
• In the context menu Grid>Exprot to excel.

Please save the excel file and email it to me.

Please append Attn:Joydeep in the subject line of the email and give a reference of this thread in the body of the email.

I look forward to assisting you further.

[nicknamed]

Hello nicknamed,
There may be other trades which have a loss for 86 ticks. This may be due to a gap up/down etc.

Can you send the trade logs to support[AT]ninjatrader[DOT]com

• In Control Center click on the Strategies tab,
• Select the strategy you are running and right click on it.
• In the context menu click on Strategy Performace>Realtime + Historical
• In the new dialog click on the Trades tab
• Right click on the data grid
• In the context menu Grid>Exprot to excel.

Please save the excel file and email it to me.

Please append Attn:Joydeep in the subject line of the email and give a reference of this thread in the body of the email.

I look forward to assisting you further.

Just sent.
Thank you
N.