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MAE and MFE clearly wrong

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    MAE and MFE clearly wrong

    Hi - the MAE and MFE in NT8 are displaying incorrectly. For one ES futures trade today, it clearly should be 0.25pts and 1.75pts as verified on a 150 tick chart, but account performance on NT7 is showing 0.50pts, 1.50pts.

    I was told in Apr 2018 that the solution was to move to NT8:
    https://ninjatrader.com/support/foru...arly-incorrect

    I tried using NT8 and the MAE and MFE are now showing as 1.50pts, 1.50pts.

    Is this another known bug?
    Last edited by jtrading82; 10-14-2019, 11:29 AM.

    #2
    Hi - any update?

    Comment


      #3
      Hello jtrading,

      Thank you for your post.

      Sorry for the delay - I've been looking into this for you.

      To clarify - it is NT8 that you're seeing the discrepancy on, not NT7, correct? You mentioned NT7 in your initial post.

      What version of NT8 are you using? You can find this under Help > About. If you're not on version 8.0.19.0, please update before we troubleshoot further.

      To update NinjaTrader, please follow the steps below.
      • First, copy your license key from NinjaTrader under Help> License Key then exit NinjaTrader
      • Click on the link: http://ninjatrader.com/PlatformDirect
      • Enter your license key and press Submit
      • Select 'NinjaTrader 8'
      • Select 'Download'
      • Critical: Before running the installer, ensure NinjaTrader is closed.
      Did you scale into or out of the position showing inaccurate values for MAE and MFE? Please provide a screenshot of the Executions display of the Trade Performance window showing this trade. Please make sure the Position and Order ID columns are fully visible.

      Thanks in advance; I look forward to assisting you further.
      Kate W.NinjaTrader Customer Service

      Comment


        #4
        I am seeing this issue on both NT7 and NT8. When I posted in NT7, I was told to switch to NT8. I tried downloading/installing latest NT8, and the MAE, MFE reported are even more incorrect.

        Can you please check if there is a known issue before I go through all the steps of taking screenshots?

        No scaling, just a simple buy/sell exit.

        Yes, latest version of NT8, I had just downloaded and installed it.

        Do you have an email I can reach you as I do not wish to post my trade screenshots publically?
        Last edited by jtrading82; 10-14-2019, 02:42 PM.

        Comment


          #5
          Hello jtrading82,

          Thank you for your reply.

          I checked for known issues before my reply yesterday as well as tested and cannot replicate what you're seeing. I will need to see screenshots as I'm not seeing anything amiss with my testing.

          Thanks in advance; I look forward to assisting you further.
          Kate W.NinjaTrader Customer Service

          Comment


            #6
            I reported an issue with NT8 MAE reporting very early in its history ... I thought it had been resolved. Maybe not?? I am no longer running the strategy I used back in 2016... but here is a link to the issue I observed back then... https://ninjatrader.com/support/foru...ults-are-wrong

            In that case, NT8's MAE was spectacularly wrong... but that was way back in 2016 or whatever.

            I don't think I can replicate it now... but it might be worth checking my original post. As I recall, the bogus values reported were coming from a secondary data series... if your strategy adds a second data series, I'd look in that area.

            Hope that helps...
            T.

            Comment


              #7
              Thanks tgn55, I only have one data series.

              Hi NT_Kate - sent screenshots via email, reference support request #2308026. Thanks for checking beforehand.

              Comment


                #8
                I placed another trade where I entered 2 contracts at a single price, and exited at different prices/times.

                Trade #1 has incorrect MAE but correct MFE
                Trade #2 has incorrect MAE and incorrect MFE

                I will email screenshots. Last email correspondence I was simply told to reset DB and NT wasn't able to confirm resolution.

                Comment


                  #9
                  I gave up complaining on this one.

                  Comment


                    #10
                    #sledge hehe, me too.
                    #jtrading82 - just to confirm/compound what others have written - it appears you have a very 'simple' example i.e. 2 contracts entered at the same time/fill, no extra data series, no scaling, etc etc & different and differently incorrect MAE &/or MFEs. I've been through similar shenanigans with simple examples where Trade Performance reports MAE &/or MFE as just plain wrong. Screenshots,. log and trace etc etc
                    Fully investigated by Patrick et al etc.
                    FWIW as far as I got to understand it, one of the contributing issues can be that NT treats every execution uniquely as a single buy or sell and not 'paired'. This can affect ability to calculate MAE & MFE accurately in some instances.
                    Anyhoo - not wishing to open a debate as I don't profess to know much, other than to confirm your findings that NT8 WILL report MAE &/or MFE incorrectly on occasion thus can't be relied upon until it is fixed which it isn't being in a long time.
                    Perhaps it is not possible to eliminate it entirely.

                    Comment


                      #11
                      Hi Kate - any update?

                      Comment


                        #12
                        Hello jtrading82,

                        Thank you for your reply.

                        Nothing as of yet, however, with the holidays I would not expect any news until after the new year as a number of our team are out of the office.

                        I will let you know when I have any update.
                        Kate W.NinjaTrader Customer Service

                        Comment


                          #13
                          Hi Kate - 2nd ticket was opened a month ago, what progress has been made since?

                          Comment


                            #14
                            Hello jtrading82,

                            Thank you for your reply.

                            We've been working to isolate situations in which this occurs, as we've found it not regularly reproducible. In most situations in which trades which have multiple exits, we've confirmed that MAE and MFE reported for both trades will be the MAE and MFE of the last exit. Now, because MAE and MFE take into account bid and ask prices that may not be reflected on the chart, we'd expect that you could have an MAE or MFE slightly greater than what the chart would lead you to believe. However, we were able to produce erratic instances in which the MFE is reported as being lower than the chart price during the trade reached, which is what we are specifically looking further into now.

                            When we have more information we will update you.

                            Thanks for your patience, we look forward to assisting further.
                            Kate W.NinjaTrader Customer Service

                            Comment


                              #15
                              #jtrading82 - hey, well done, finally some a) acceptance that problems exist rather than boilerplate 'can't replicate', 'it's expected behaviour' (which it may be because of the way it is coded, but it isn't behaviour which should be expected, and therefore isn't a justification of the behaviour - two different things), (see my Post #10) and b) actively addressing them (in the region of 2 years down the line)
                              Thanks #NT_Kate for the unexpected Christmas present of action. If it were to be resolved, perhaps you could re-instate Group By Trade for my next year's Xmas pressie ;-)

                              Comment

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