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Trade Performance MFE reporting?

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    Trade Performance MFE reporting?

    Hello,
    Using one ATM with 3 Contracts.
    Entry prices all same, simple Stops all same and 3 different profit targets. No Stop Strategies, but Stops and Targets may be moved manually.

    1st Contract - Entry 2667.00 Exit Target1 2665.75
    2nd Contract - Entry 2667.00 Exit Target2 2664.75
    3rd Contract - Entry 2666.75 (slippage) Exit Stop3 2666.00 (manual)

    Price went to 2658.50 (max excursion 34 ticks) MFE on Contracts 1&2 reported as $425.00 = 34ticks @ $12.5/tick
    But Contracts 1&2 never saw MFE 34ticks as came off as hit Targets way before MFE of the ATM Strategy reached.
    MFE on Contract3 reported as $100 = 8ticks

    The Entry for Contract3 was same time and price as the others, minus a tick slippage. The MFE was the same for Contract3 as the others as it was the last Contract to Exit, less a tick slippage on Entry, so $412.50

    I appreciate I no longer have my beloved Group by ATM function lost from 7 because apparently Users demanded in their droves it be removed for 8, but this doesn't make any sense to me and beyond my wit to figure, what am I misunderstanding please?

    Kind regards,


    #2
    Originally posted by brucerobinson View Post

    I appreciate I no longer have my beloved Group by ATM function lost from 7 because apparently Users demanded in their droves it be removed for 8, but this doesn't make any sense to me and beyond my wit to figure, what am I misunderstanding please?
    They removed that from the trade performance filter also? Top right?

    they originally had by strategy name up there-great feature-but if you clicked generate too many times it would f up big time. They don't or can't issue a fix for that, but said nt9 would fix it.

    Comment


      #3
      Originally posted by sledge View Post

      They removed that from the trade performance filter also? Top right?

      they originally had by strategy name up there-great feature-but if you clicked generate too many times it would f up big time. They don't or can't issue a fix for that, but said nt9 would fix it.
      It may be that I'm mis-speaking, I've only just started probing the soft underbelly of Trade Performance and the Filter/Templates. The functionality I was referring to was the ability to report each Strategy Trade as one 'collective trade', including all Contracts in that ATM as per NT7. As far as I understand and when enquired starting migrating from 7 was told, that can't be done. I can filter by template, instrument etc but, as my example above, it lists each contract separately and can't group all three in my example. So I have no easy way of knowing whether or not the trade was profitable, i.e. the Strategy that I traded the trade with, only each contract separately, and cumulatively for all contracts traded using that strategy.

      Seems to me that the approach adopted might suit programmatic traders more so whereas Group by ATM may be more suited to discretionary.

      Anyhow, I just want to know why what I'm reporting doesn't make sense (to me)!

      Comment


        #4
        Hello brucerobinson,

        Thanks for your post.

        Please send me your database, log, and trace files so I can load your database on my system.

        You can do this by going to the Control Center-> Help-> Mail to Platform Support.

        Ensure to check 'Database file' and ' Log and trace files'.

        Please reference the following ticket number in the body of the email: ATTN ChrisL <paste forum thread link here>.
        Chris L.NinjaTrader Customer Service

        Comment


          #5
          Hello brucerobinson,

          Thank you for sending in your database.

          The difference between the profit target and your MFE can be caused if you move your target. If the position goes in favor but doesn't quite hit the original target and you move the target down, then that would result in a higher MFE than the profit target.

          Please let me know if this does not resolve your inquiry.
          Chris L.NinjaTrader Customer Service

          Comment


            #6
            Originally posted by NinjaTrader_ChrisL View Post

            The difference between the profit target and your MFE can be caused if you move your target. If the position goes in favor but doesn't quite hit the original target and you move the target down, then that would result in a higher MFE than the profit target.
            By 'Profit Target' you mean Profit reported in column Profit, as a result of a Target being hit in your scenario. So by your scenario example you are describing - to use my example - price moved 34 ticks from entry (so a MFE of 34 ticks correctly reported IF it is reporting 'the MFE of the ATM move from contracts on to ALL off I.e. the ATM trade ended'), price reversed and then I moved my target down to get taken out at a lower price than the MFE that had already been reached. MFE exceeded the Target price at which Profit realised. OK I understand that, and that's what I'd expect.

            But that isn't what happened. I entered the trade with 3 contracts - 1 and 2 targets were hit (my example is a short, you used long, but let's stick with my example).
            Contract 1 was hit 'on the first run down'. Enter short, market falls, first target hit at 5 ticks i.e. market slammed straight into first target. But it reports the MFE for that contract as 34 ticks. The 'trade' i.e. 3 Contracts on the ATM did go on to 34 ticks before the final contract came off. But not that contract. Same with Contract 2 - Enter, market goes short, second target hit on move straight down at 7 ticks. It reports MFE as 34 ticks. Not for that contract, it came straight off at 7 ticks. So it is reporting MFE for that Contract 2 in same way as Contract 1 - MFE for the 'ATM Trade' i.e. all 3 contracts entered together, the 'ATM Trade' was 3 contracts, MFE is reported for all contracts as being the farthest price reached for any of the contracts in 'the trade'. Except it's not -- Finally, Contract 3 is the one Contract that did run to 34 ticks and then reverse. Bizarrely to me, it is showing this final Contract of the 'ATM Trade' i.e. the 3 Contracts entered by using the ATM Strategy, as only having run to 8 ticks MFE when in fact it was the only actual contract that did go to 34 ticks MFE.

            The only way your example could apply/ be the explanation (not being critical, seeking to make clear) would be if all 3 contracts ran to 34 ticks and then were taken off when reversed back to near entry. But that's not what happened
            The scenario was: put on trade, first target hit, second target hit, ran on to 34 ticks and reversed, final contract stopped out. And I can't understand the reporting of that, which I would like to.

            Kind regards,
            Bruce
            Last edited by brucerobinson; 10-31-2018, 09:26 AM.

            Comment


              #7
              Hello Bruce,

              Thank you for your patience.

              I see that the Sim101 account did not report that last trade properly. I would advise resetting your database to clear any bad relations, then test to see if you get this again because I was unable to reproduce it after testing for a while. Below are instructions on resetting your database.
              • Disconnect NinjaTrader from any open connections via Connections > Disconnect
              • From the NinjaTrader Control Center window select the menu Tools > Database Management
              • Check Historical Orders to remove historical orders
              • Check Historical Trades to remove historical trades
              • Press the "Reset" button
              This procedure should clear the problem.
              Chris L.NinjaTrader Customer Service

              Comment


                #8
                Hello Chris and thanks.
                I'll do as you suggest and hope not to see another.

                What it did do though is flag up that I haven't as yet tried to understand, and don't understand how Trade Performance reports ATM Strategy trades.
                I'm not referring to Filtering - I understand all that side, but that is a 'management/manipulation of data' aspect, rather than how Trade Performance calculates in the context of an ATM Strategy. Notwithstanding the last contract error in reporting, it seems that it does treat the contracts as a group i.e. 3 contracts in my example - MFE for all contracts is reported as maximum excursion for the trade as a group. So if my trade went 34 ticks from Entry of all 3 trades, it reports MFE for each contract as 34 ticks, even if contracts came off earlier. If 'the trade' saw 34 ticks MFE from entry, it reports that for each and all contracts irrespective of whether each or all contracts saw that?.

                Thanks

                Comment


                  #9
                  Hello Bruce,

                  This is correct, the MFE and MAE should show as the same for all 3 contracts, measuring from the time the first contract was purchased, until the last contract was sold.
                  For instance, if a 3 contract trade with a stop and target of 10, 15, and 20 for each respective contract was entered, let's say the first two stops were hit and then reversed, and the last contract hit the target.
                  The MAE will show as 15 ticks, and the MFE as 20 ticks for all 3 contracts.

                  Please let me know if you have any further questions.
                  Ryan S.NinjaTrader Customer Service

                  Comment


                    #10
                    Hello Ryan and thank you.
                    That's how I'd expected, & hence why the odd-ball treatment of one contract caught my attention
                    Thanks for confirming .Hopefully just a random event of one having gone rogue.
                    Kind regards
                    Beuce

                    Comment

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