For example MAE and MFE are almost always the same value no matter how the trade progressed. Also my standard stop is $100 but I will get winning trades with MAE larger than $100 or MFE larger than my profit.
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MAE & MFE reality check
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MAE & MFE reality check
Has anyone else noticed that the MAE and MFE reported on the trade performance window rarely have any relationship to reality.
For example MAE and MFE are almost always the same value no matter how the trade progressed. Also my standard stop is $100 but I will get winning trades with MAE larger than $100 or MFE larger than my profit.Tags: None
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Hell,
Thanks for your post.
Please elaborate on what you mean by 'rarely have any relation to reality' . Do these fields have unrealistic values in them?
MAE and MFE are opposing values so they should not often be the same. How many times and what parameters are you using to generate your Trade Performance report?
Here is a link to our help guide that explains the calculations of the Trade Performance statistics.
MAE
https://ninjatrader.com/support/help...dingAverageMae
MFE
https://ninjatrader.com/support/help...dingAverageMfe
I look forward to your response.Josh G.NinjaTrader Customer Service
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Originally posted by NinjaTrader_Josh View PostHell,
Please elaborate on what you mean by 'rarely have any relation to reality' . Do these fields have unrealistic values in them?
I am attaching a screenshot of the last few days of trading so you can see.
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The following trade on 1 minute series back-test clearly had a 0.5 ES points MAE which is not picked up on the back-test trades list ($0 MAE). Explanation for that? Is it because the trade opened and closed within the same bar and MAE is calculated from closed bar values after entry? Regards and thanks
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Hello elliot5,
As this is a backtest, may I confirm the orders are being submitted to a 1-tick series added for intra-bar granularity?
Below is a link to a forum post on intra-bar granularity.
Without intra-bar granularity, it would not be possible to know how the price travelled after the position was entered until it was exited as no intra-bar information would be known.Chelsea B.NinjaTrader Customer Service
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