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Strategy Analyzer stats with a Multiple Instrument Straregy

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    Strategy Analyzer stats with a Multiple Instrument Straregy

    HI - I need some clarification on Strategy Statistics using a 5 instrument multi series Strategy. Below are the stats in question that come from the Analysis tab in Strategy Analyzer - this is a single trading day. I am assuming Max Drawdown reflects the account during the trading day, while Avg MAE, Avg MFE and Avg ETD reflect individual trades during the day.

    Gross Profit $3,351.24
    Net Profit $3,351.24
    Gross Loss $0

    Max Drawdown $0

    Avg. MAE $247.50
    Avg. MFE $743.50
    AVG. ETD $73.25

    MAE reflects how much we ran down before turning a profit. Since it shows $247 which is an average of the 5 instruments, why does it show 0 for the drawdown? I would expect Max Drawdown to be near $1000. Sometimes MAE does align with Drawdown, just not in this case.

    FOLLOW UP: It seems Max Drawdown reflects "Realized" decrease to the equity line not "Unrealized" decrease. Correct?

    The MFE and ETD make sense. (This is just a rough estimate since each instrument’s Max values don’t happen at the same time) - but if we multiply the MFE by 5 we get 3715 and ETD times 5 is 365 - the difference is close to the Net Profit. 3715 - 365 = 3350. It's almost perfect!

    Thanks in advance!

    -Sam
    Last edited by szayedoud; 02-26-2020, 07:16 PM. Reason: FOLLOW UP - I think Max Drawdown reflects "Realized" decrease

    #2
    Hello szayedoud,

    Thanks for your post.

    Max Drawdown will not necessarily mean MAE + MFE. Max Drawdown will show the biggest decrease in equity (realized) since the highest high in equity is reached. Max Adverse Excursion would includes the worst price that is reached while in the trade.

    These statistics can be found here - https://ninjatrader.com/support/help...efinitions.htm

    Please let us know if you have any additional questions.
    JimNinjaTrader Customer Service

    Comment


      #3
      Thanks, after I studied the stats more carefully, I realized that Drawdown was reflecting the "realized" while the MAE was the "unrealized" run downs while in the trade. thanks for the clarification!

      Comment

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