MAE for multiple entries

[NinjaJorge]

Hi,

I think the calculation for the MAE when you scale in a trade is wrong. Say you enter with one contract at *100* then get 2 points of MAE (98), then market moves your way and at 110 you enter another contract and from then on market never moves against you till you exit. MAE (when "Group trades by ATM strategy" is selected) will show *14* points, when it should be *2*. This is so because it takes the average price (100+110/2 = 105), discounts the lowest price during the trade (98) and multiplies it by the total number of contracts, instead of taking the highest of (entry price - lowest price since first entry time) and (average price - lowest price since last entry time) for the calculation.

Thank you,

Jorge

[NinjaTrader_Bertrand]

Hi Jorge, here is a link to the MAE definition - http://www.ninjatrader-support.com/H...verageMAE.html

What you probably see is when selecting 'Group Trades by ATM strategy' is this: an ATM strategy with multiple entries / exits is reported as one trade with single entry and exit prices.

[NinjaJorge]

Hi Bertrand,

Thank you for your prompt answer. Yes, what I see is an ATM strategy with multiple entries exits reported as one trade with single entry and exit prices, which is fine, but I still think it's the wrong way to calculate the MAE. The link you provide is about the average MAE that appears in the summary of the performance reports (in this case the formula is correct).

[NinjaTrader_Bertrand]

Hi NinjaJorge, the 'Average MAE' from my previous post is used to calculate the 'Account Performance' statistics, too.

I can see your point here and thank you for the suggestion.