When a trade is exited via limit order (aka, the trade hits its target) it seems to me that the MFE value should be the same as the profit achieved by hitting the target. And, indeed, in most cases, this is exactly true.
I have found a situation where 1) NinjaTrader shows an MFE for a trade that was achieved only after that trade had exited. And, 2) the MFE value that is shown is higher than the profit achieved by hitting the profit target, ie, it shows a value that was not possible to achieve.
So, the MFE is too high, and is calculated from future bars after the trade had already exited.
With my understanding of MFE, that makes no sense. An MFE represents the most favorable profit ever achievable during the life of that trade -- "life of the trade" being defined by entry and exit times. Because, obviously, after a trade exits, the tracking of the MFE for that trade should cease as well, right? What use is there to show an MFE that represents a profit only achievable after a trade has already exited?
My attached screenshot is from a backtest of a strategy that enters a position with two contracts, using managed mode. The strategy exits the first contract via a limit order (aka, a profit target) and the second contract continues as a runner until the strategy reverses or the session closes.
It is this managed mode scenario of a two contract entry with multiple exits that produces flawed values for the MFE of the first exited trade.
I submit that NinjaTrader's MFE calculation is flawed in this case. For a trade that hits its profit target (aka, exited via a limit order with a limit price, regardless of managed/unmanaged, scale entry or scale exits, etc), an MFE value higher than the profit made by hitting the target makes no sense, and, in fact, should be impossible.
And, on top of that, we have, in this case, a scenario where the MFE shown for a trade is actually coming from calculations on future bars, after the trade has exited.
Can NinjaTrader support confirm this bug?
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