Performance Stats: real MAE and MFE ?

[NinjaTrader_DaveI]

Thank you for clarifying. When calculating the base MAE (before calculating the average MAE), each trade is broken into an entry execution and an exit execution. It is the quantity of the entry execution, specifically, which is used to calculate the MAE by trade.

Does that fit in line with what you would expect? If not, I'll be happy to save any notes you have on how to adjust the formula, and log them as a feature request.

[palinuro]

Sure. I want to get the individual trade stat correct first, so I'm considering only one trade here.

There are 2 ways of calculating MAE/MFE:

1) Price MAE = max excursion of price, disregarding quantity altogether. This is useful for assessing your entries, and all you need if you are an all-in / all-out trader.

2) Position MAE = max value of ( price excursion at Time t * quantity at Time t). This tells you the actual maximum risk of your trade, and is needed to assess your management if you scale in or out.

It isn't clear from the formula what 'quantity' represents, and if it is the maximum quantity of the position, then the calculation is incorrect.
Also, in the case of a position that is being built using scaling in and out, it isn't clear how MAE is being calculated.

I can do this by writing my own indicator to track positions, but it seems like something that ought to be done in NT's performance stats.

[NinjaTrader_DaveI]

Hello,

Can you please clarify the issue with the calculations a bit further? For the definitions listed in the help guide, I'm seeing Quantity included in the formulas for both:

http://ninjatrader.com/support/helpGuides/nt8/en-us/?statistics_definitions.htm

Examples:

MFE Points mode: SUM(MFE * quantity) of all trades / # of trades
MAE Points mode: SUM(MAE * quantity) of all trades / # of trades

[palinuro]

I am confused about the "average" part of the MFE and MAE calculations.

They are supposed to be measures of the maximum profit and risk of a trade, so the calculations should be tracking the quantity as well as the price to account for scaling in and out.

But the calculations provided in the documentation don't seem to track quantity at all.

Is there some way of getting the actual values?

thanks.