Mae

[mknell01]

According to the docs MAE calculation is based an average of all trades: https://ninjatrader.com/support/help...dingAverageMae

I need to know the true MAE per trade (screenshot), for a clear idea of what drawdowns I can expect per each of my trading setups.

For example, if one of my trades had a real MAE of 5 ticks against me, NT's MAE may show only 2 ticks because it averages in the other trades. This makes it seem like my setup is better than it actually is.

This issue comes up all the time here on the forums. What can be done about it?

[NinjaTrader_ChelseaB]

Hello mknell01,

I am happy to submit a feature request on your behalf.

You are wanting a cumulative MAE instead of an average MAE, is this correct?

[mknell01]

No, just a regular MAE of a trade... like in my screenshot, for each trade just the MAE of it...

[NinjaTrader_ChelseaB]

Hello mknell01,

I'm not quite certain I am understanding.

When viewing the trades display of the trade performance window, this will show the Maximum Adverse Excursion (worst price reached while the trade was open) for each individual trade. This is not averaged.

Can you further detail what you are wanting to view and where you are wanting to view this?

The MAE is for individual trades on the Trades display of the Trade Performance window and is not averaged or combined.

[mknell01]

Thanks, I think I wan't displaying the trade order the right way. It fine now.

[sledge]

Hello mknell01,

I'm not quite certain I am understanding.

When viewing the trades display of the trade performance window, this will show the Maximum Adverse Excursion (worst price reached while the trade was open) for each individual trade. This is not averaged.

Can you further detail what you are wanting to view and where you are wanting to view this?

The MAE is for individual trades on the Trades display of the Trade Performance window and is not averaged or combined.

Then explain how this is computed.

I sure can't.

The MAE was 2.0 points obviously, but for some reason the TRADES report split it out to 6/4 Qty. Fine.

But how is the 12 and 24 computed? I can see how the 23.6667 is computed, but if the inputs are wrong from the MAE trades report - then the Avg MAE would also be wrong.

If you add the 12+24 together, you get 36, divide by 10 = 3.6 MAE? huh?

[sledge]

Thanks, I think I wan't displaying the trade order the right way. It fine now.

Then maybe I need to open a new thread.

[NinjaTrader_ChelseaB]

Hello sledge,

I have recorded a short video demonstrating how NinjaTrader calculates MAE.

https://drive.google.com/file/d/10dbkpUZk2cRK4XBwFutHB-0qIXslLRkK/view?usp=drivesdk

[sledge]

Hello sledge,

I have recorded a short video demonstrating how NinjaTrader calculates MAE.
https://drive.google.com/file/d/10db...w?usp=drivesdk

That is my understanding of it also.

But that is NOT what is being reported.

That's why it makes ZERO sense to me.

[NinjaTrader_ChelseaB]

Hi sledge,

In your screenshot, are we focusing on the trade that shows the entry name as "Stop loss" and the exit name as "Profit target" entering at 10:32:24 and exiting at 11:11:13?

Are you viewing the strategy performance or the trade performance?

Does the strategy performance window show the same grouping?

[sledge]

Hi sledge,

In your screenshot, are we focusing on the trade that shows the entry name as "Stop loss" and the exit name as "Profit target" entering at 10:32:24 and exiting at 11:11:13?

Are you viewing the strategy performance or the trade performance?

Does the strategy performance window show the same grouping?

I entered 10 on down2 entry name. I have no idea why it split up into 6 and 4 with different entry names.

Both were from trades performance window.

I will verify strategy performance window tonight.

[mknell01]

I entered 10 on down2 entry name. I have no idea why it split up into 6 and 4 with different entry names.

Both were from trades performance window.

I will verify strategy performance window tonight.

Not sure if related. But I noticed that when using ATM with multiple targets or stop losses. NT splits trade reporting by the number of targets/profit taking orders. For example, I may enter one trade with 2 contracts and have a target order at 4ticks and another target at 8ticks. NT will always report this trade as two separate 1 contract trades.

[sledge]

True. But these were on the same named order entry with same profits target


Anyways, even if it was or wasn't , how does the MAE make any sense in this case?

[NinjaTrader_ChelseaB]

Hello sledge,

It may be the database is corrupt.

As a test, you can rename this, then place a manual entry and exit and see if the MAE is correct.

Shutdown NinjaTrader

The database is located in:
Documents\NinjaTrader 8\db\NinjaTrader.sdf

Rename this to NinjaTrader.old.sdf.

Restart NinjaTrader and place a single entry and exit and measure the MAE.

Also, what version of NinjaTrader 8 are you using? (Help -> About... e.g. 8.0.X.X)

[sledge]

Hi sledge,

In your screenshot, are we focusing on the trade that shows the entry name as "Stop loss" and the exit name as "Profit target" entering at 10:32:24 and exiting at 11:11:13?

Are you viewing the strategy performance or the trade performance?

Does the strategy performance window show the same grouping?

NT 8.0.12.0

I suspect this has been happening for a while - as the MAE has never made sense to me.

I verified that the Strategy Performance does not have this odd grouping, and in fact, makes sense.

It shows MAE = 20. So I know that 10x2 = 20!

If the Trade Performance was 6x2=12.00 (we have that), and the next trade was 4x2 = 8.00 which would be 20.00, that would probably work too.


This does affect the graphs for MAE/MFE in the Trade Performance, since it is sourcing the wrong values. (They don't match).

The profit at least matches (36+24=60).


I will reset the .SDF (currently 10000KB and run the replay again).

I also have another laptop with the same issue, and probably all my other replay machines.

I suspect this bug is in the Trade Performance window which has been troublesome since the beginning. It kind of reminds me of that Cartesian issue were trades were being duplicated with the Template tab.