Definition of MAE, MFE, ETD

[soulfx]

Dolfan i hear your pain .... i also in the past lost postings with detail to the same token expired message - months ago i asked them to increase the time - i was informed it was done - then a month later it happened and was told it couldnt be changed ????? So what i suggest is ask them again to fix this i dont see why it cant be changed - or save your text in a notepad/doc before posting which is what i now do then at least i have the original text

[Dolfan]

Yea, I've done the save thing many times but this time I didn't think about it. The difference is between loading up an old message by having to to search for yourself in the advance search engine, or reloading a past page in your browser (which is the root of all evil here). The forum format could take a few lessons from the team that develops charts. IMO

Dolfan

[NinjaTrader_PatrickG]

Dolfan,

I think it would be best to continue our troubleshooting together via email so we can be sure we're doing identical tests. We can then post our results here on the forums once we come to a conclusion.

Please write into PlatformSupport[AT]NinjaTrader[DOT]com and include "1635428 ATTN Patrick G" in the subject or body of the message.

[koganam]

OK, this is the second time trying to enter all of this. For the record, expired tokens are a ROYAL PAIN IN THE GAZZOOOOO! I hate typing a lengthy response only to have it COMPLETELY LOST because of an expired token. ARRRRRGGGGGGGGGGGG!!!!!!!!!!!

OK, breathing easy now....

I ran your analysis and I see your point but I get different results running my strategy analysis. Could it possibly be because I am using RenkoBars (9) on my chart? I can see where the numbers over a long period of time will be skewed by the amount of time and data points collected but for the numbers to be so low, even averaged out, the probability of a position moving against me is very very low, as suggested by the analysis. I think we are all smarter than that. Even with a success rate of 63%, the idea that 37% of all trades will, on average, move ONLY 2 ticks against me is unrealistic. https://www.screencast.com/t/ApVQApaBbU

I ran my strategy with identical settings over a long period of time, 01/01/2008-present, with the only difference being the size of the RenkoBars (?) per instrument. I exported the analysis and combined them all into one spreadsheet. You can see that the MAE is amazingly similar with the exception of SI. https://www.screencast.com/t/64SWnp34EdY
This suggests to me that the market is very reliable, and we know that isn't so. Since my entering into this thread was about how to use MAE for stops and MFE for profit targets, I submit once again that this data is not reliable as presented OR, as I am interpreting it.

On another note, when trying tun a Optimization, it appears as though this is only meant for strategies that use moving averages. Is this accurate or are there a list of indicators that you can test using optimization? Thanks!

Best regards,

Dolfan

If I may dare to make a suggestion, search the forum on the string: "renko backtest problem", and you will get an education on why you should not be trusting anything that you get on a Renko Chart, whether backtesting or trading realtime. Heck, especially trading realtime. This particular post is particularly apposite: http://ninjatrader.com/support/forum...ad.php?t=69783

If that leaves you still unconvinced, do a search for posts by me that include the "Renko" word. I have a few choice words in there.

[Dolfan]

Thanks for the heads up kog. Looking at the strategy running every day I witness it making excellent entries over and over, but the exits have confounded me. Right now the analyzer returns the following;
Profit factor = 12.49
Sharpe ratio = 8.53
% Profitable = 62.5%
Avg win/loss ratio = 7.5

This is a short term test as suggested by the time frame Patrick used. All a little too rosy a picture to believe I think. The 10 year test results are a little closer to what I am used to, 7.65 profit factor versus 5 or so in manual trading. I still like the picture that Renko bars paint on the charts to visualize what is happening in the market, but I can see the argument about slippage between bars.

I am dumbfounded by the expectations of shooly76 and a system that took 4 years to build but only yields a profit factor of 1.99 and an average win/loss of 1.80. Do you know if he ever worked this out?

Best regards,

Dolfan