MAE & MFE reality check

[seahn]

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.

[NinjaTrader_JoshG]

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.

[seahn]

Hell,
Please elaborate on what you mean by 'rarely have any relation to reality' . Do these fields have unrealistic values in them?

What I mean is the MAE/MFE values are often wrong. I am using the default settings whatever those are.

I am attaching a screenshot of the last few days of trading so you can see.

[NinjaTrader_JoshG]

Do you see the same results when backtesting your custom strategies in the Strategy Analyzer? If so, what about when you backtest one of NinjaTraders prebuilt strategies?

[elliot5]

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

[NinjaTrader_ChelseaB]

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.

https://ninjatrader.com/support/forum/forum/ninjatrader-8/strategy-development/94098-isfirsttickofbar-vs-onbarclose-for-backtest-live?p=773377#post773377

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.

[elliot5]

No tick series to enter the orders - I guess that is where the problem lies. just running it on 1 minute with an added 405 minute series for trade logic based on daily bars. I use Kinetick - not sure they have tick data for ES ##-##. Regards

[NinjaTrader_ChelseaB]

Hello elliot5,

Try adding a 1-tick series and placing orders using the BarsInProgress index of that added 1-tick series. Is the behavior the same?

[elliot5]

This solves the problem - many thanks.