Question on MAE/MFE calculation.

[billr]

I am getting some MAE/MFE results on my Trades tab from the Strat Analyzer results that are obviously invalid. I have attached a screen shot of some examples.
I am using NT 7.17, Renko Chart set a 25 ticks.

You will notice in the highlighted trades that the MAE/MFE return results that are 1 tick from the 25 tick bar size threshold. e.g. 0, 24, 49, 74, 99 etc. Could you explain what creative logic is doing this? I use this as one tool to review the placement of profit targets, stops etc. and these results are obviously suspect. thanks.

[NinjaTrader_RyanM1]

Hello billr,

Please review the calculations used for these here:

http://www.ninjatrader.com/support/helpGuides/nt7/statistics_definitions.htm

There's no automatic intrabar granularity so I can see why you are getting these results. It compares highs / lows from the entry bar until the bar the target or stop loss was filled on to get the worst / best price. All your bars have the same height so it seems reasonable to expect that the levels of MAE/MAF take place at multiples of this interval. (Every 25)

If you find the results don't match your expectation, line up the elements in the calculation indicated, and check the math.

Let us know if you identify a discrepancy.

Also note that the latest V7 build is 20 - Please download and install the latest version here:
http://www.ninjatrader.com/webnew/download_download.htm

[billr]

Hi Ryan,
In order to interpret the results, could I assume that if the MFE = 24 then one renko25 bar was completed in the favorable direction? And that if the MFE = 0, then the maximum price move in the favorable direction was less than the amount required to form one renko25 bar in the favorable direction (in this case, AvePrice+23ticks)?

Regarding NT7.20, I am waiting until my third part application provider is available to repair the application if not compatible with v20. Am I ok waiting until end of Aug?

Thanks.

[NinjaTrader_RyanM1]

Billr,

Yes, that seems pretty accurate. Backtesting enters at the open. With renko bars this will be either the high or low. When MFE = 0, it means you were filled at the open, it went the opposite direction and was closed before any positive result. You're right: the market may have traded higher than your entry price but this isn't seen unless it traded higher than the amount to form a renko bar in that direction.

There have been a number of bug fixes since version 17. No one is forcing you to upgrade but if you run into any critical issues, this will be our first step before providing additional support.