MAE for a single trade

[guillembm]

Would it be possible to get the MAE value of a single trade in the TradeCollection method?

[NinjaTrader_Jim]

Hello guillembm,

Thanks for your post.

This is possible in NinjaTrader 8, but not in NinjaTrader 7.

In NinjaTrader 8, you may fetch MAE from a Trade object, within the Trade collection.

For example:

if (SystemPerformance.RealTimeTrades.Count > 0)
{
    // Check to make sure there is at least one trade in the collection
    Trade lastTrade = SystemPerformance.RealTimeTrades[SystemPerformance.RealTimeTrades.Count - 1];

    // Calculate the PnL for the last completed real-time trade
    double myMAE = lastTrade.MaeCurrency;

    Print(myMAE);
}

Trade object - https://ninjatrader.com/support/help.../nt8/trade.htm

We look forward to assisting.

[guillembm]

Would it be possible to use it in an optimization metric?

[NinjaTrader_Jim]

Hello guillembm,

Optimization fitness metrics would still pull from TradePerformance from within SystemPerformance for the strategy and we will be back to trying to reference individual trades from there, and then trying to fetch MAE/MFE from an individual trade. NinjaTrader 7 does not have this for individual trades so we would not be successful there.

You could try to calculate it on your own within the strategy logic, but this will not integrate well with the Strategy Analyzer. I would recommend using NinjaTrader 8 for this kind of task.

NinjaTrader 7 statistics - https://ninjatrader.com/support/help...efinitions.htm

Please let us know if there is anything else we can do to help.

[guillembm]

Would it be possible to pass the value of "lastTrade.MaeCurrency" to the optimizer?

[NinjaTrader_Jim]

Hello guillembm,

This property is not available in NinjaTrader 7, but you could reference this in NinjaTrader 8 and use it in an Optimization Fitness Metric if you like.