MAE/MFE moving average

[eleven]

Hello,

I currently have a strategy that utilizes MAE of the total trade average to set a stop. "SystemPerformance.AllTrades.TradesPerformance.Cur rency.AverageMae"

I would like to create a stop that utilizes a moving average of the individual trade MAE (for example, the last 30 trades) rather than the alltrades average. Can someone point me in the right direction on how I would code this?

Thanks,
eleven

[NinjaTrader_ChelseaB]

Hello eleven,

Unfortunately, the TradesPerformance does not have this value for individual trades.

https://ninjatrader.com/support/helpGuides/nt8/tradesperformance.htm

This means you would need to custom calculate this with code.

https://ninjatrader.com/support/helpGuides/nt8/index.html?statistics_definitions.htm#UnderstandingAverageMae

[eleven]

Here is the code that I came up with. I think it works.

//This namespace holds Strategies in this folder and is required. Do not change it.
namespace NinjaTrader.NinjaScript.Strategies
{
public class TestMAEAvg : Strategy
{
private int i;

protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Period = 4;
}
}
protected override void OnBarUpdate() ////////////////////////////////////////////////////////////////////////////////////
{
double itCalc = 0;
double avgMAE = 0;

if (SystemPerformance.AllTrades.Count > (Period - 1))
{

for (i = 1; i <= Period; i++)
{
itCalc = itCalc + lastTrade.MaeCurrency;
}
}
avgMAE = itCalc / Period;

} //OnBarUpdate

[NinjaScriptProperty]
[Range(1, int.MaxValue)]
[Display(ResourceType = typeof(Custom.Resource), Name="Period", Order=1, GroupName="Strategy risk")]
public int Period
{ get; set; }

#endregion
}
}

[Trader17]

Hello eleven,

Unfortunately, the TradesPerformance does not have this value for individual trades.

https://ninjatrader.com/support/helpGuides/nt8/tradesperformance.htm

This means you would need to custom calculate this with code.
https://ninjatrader.com/support/help...dingAverageMae

Hey Chelsea. Then what do MaeTicks and MfeTicks do in System Performance? Found them in the Help Guide.
Thanks.

[NinjaTrader_ChelseaB]

Hello Trader17,

Was looking at the wrong page of the documentation. They are listed there.

https://ninjatrader.com/support/helpGuides/nt8/trade.htm

[Trader17]

Hello eleven,

Unfortunately, the TradesPerformance does not have this value for individual trades.

https://ninjatrader.com/support/helpGuides/nt8/tradesperformance.htm

This means you would need to custom calculate this with code.
https://ninjatrader.com/support/help...dingAverageMae

Hey Chelsea. When you said TradesPerformance does not have it for individual trades then how does it show up for each trade in the Strategy Report? I thought MaeTicks and MfeTicks are values for each completed trade and not the average.

[NinjaTrader_ChelseaB]

Hello Trader17,

I was incorrect. This is available for trade objects.

https://ninjatrader.com/support/forum/forum/ninjatrader-8/strategy-development/1179738-mae-mfe-moving-average?p=1189929#post1189929

[Trader17]

Hello Trader17,

I was incorrect. This is available for trade objects.
https://ninjatrader.com/support/foru...29#post1189929

Thanks Chelsea. Now will MaeTicks and MfeTicks only work in System Performance Real Time Trades or will also work with System Performance All Trades to see these values printed on a historical chart too?
Thanks.

[NinjaTrader_ChelseaB]

Hello Trader17,

SystemPerformance.AllTrades will include both historical and real-time trades.
https://ninjatrader.com/support/help...timetrades.htm

SystemPerformance.RealTimeTrades will include only real-time trades.

https://ninjatrader.com/support/helpGuides/nt8/realtimetrades.htm

[Trader17]

Thanks Chelsea. So MaeTicks/MfeTicks will work on historical chart data too then. Was not too sure so asked. Looking at the example in the Guide I used Mae/MfeTicks and got error saying name does not exist.

protected override void OnBarUpdate()
{
if (SystemPerformance.RealTimeTrades.Count > 0)
{
Trade lastTrade = SystemPerformance.RealTimeTrad es[SystemPerformance.RealTimeTrades.Count - 1];


double lastMAE = lastTrade.MaeTicks;

double lastMFE = lastTrade.MfeTicks;
}

if(Close[0]>Open[0])
{
EnterLong();
Draw.Text(this, "MAE"+CurrentBar, "MAE="+ lastMAE.ToString(), 0, Low[0]-15 * TickSize);
Draw.Text(this, "MFE"+CurrentBar, "MFE="+ lastMFE.ToString(), 0, Low[0]-20 * TickSize);
}
}

[NinjaTrader_ChelseaB]

Hello Trader17,

What is the full error message?
What is the line of code indicated in the error?

[Trader17]

Hello Trader17,

What is the full error message?
What is the line of code indicated in the error?

Thanks Chelsea. Says lastMAE and lastMFE not in context.

[NinjaTrader_ChelseaB]

Trader17,

It looks like you are declaring double lastMAE in an if statement. It can only be used in that if statements action block and not outside of it.

Perhaps declare these above the if statement?

If these are not intended to persist, maybe don't use those variables at all?

if( Close[0] > Open[0])
{
    EnterLong();

    if (SystemPerformance.RealTimeTrades.Count > 0)
    {
        Trade lastTrade = SystemPerformance.RealTimeTrades[SystemPerformance.RealTimeTrades.Count - 1];

        Draw.Text(this, "MAE"+CurrentBar, "MAE="+ lastTrade.MaeTicks.ToString(), 0, Low[0] - 15 * TickSize);
        Draw.Text(this, "MFE"+CurrentBar, "MFE="+ lastTrade.MfeTicks.ToString(), 0, Low[0] - 20 * TickSize);
    }
}

Also, note, the SystemPerformance collection is not updated until the position updates with OnPositionUpdate().

[Trader17]

Thanks Chelsea. It was a typo. I had made them private. It is working fine with just one issue. When I print values under a bar I see a lag. The values are not from the latest closed trade but a closed trade just before it. Why is there a lag in NT8 when we are updating the values on each bar close? I print them during opening a new trade as I do not want the values printed under every bar. And there are quite a few bars between a closed trade and a new execution which makes me think is enough time for updated values. In real time I see it updating on the bar after the entry bar. Is there a way to make it work as intended in NT8? I want to see the MAE and MFE values from the last closed trade preferably on the bar that closed the trade or on the next bar that a new trade is opened.
Congratulations on your 10 year anniversary with NinjaTrader Chelsea!!

[NinjaTrader_Jim]

Hello Trader17,

Trades are formed when we have an entry execution and an exit execution. If the trade you are referencing is:

Trade lastTrade = SystemPerformance.RealTimeTrades[SystemPerformance.RealTimeTrades.Count - 1];

and the position is open, we would not have a new Trade, because that position has not yet exited. So you would not be able to get Trade details when a position is open.

As Chelsea mentions, if you check the last Trade in OnPositionUpdate, you could see the details from the last completed as soon as that trade is completed.