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Exit Efficiency

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    Exit Efficiency

    Hi guys

    I'm currently trying to improve exit efficiency on my strat but I can't find anywhere where it documents how you calculate the "maximum/minimum price seen".

    I imagine that in determining exit efficiency you have to have to look at it in retrospect and have a predefined look forward value for number of bars in order to find the highest point of the move after the exit, trouble is I can't find anywhere to set a look forward value.

    Any help appreciated.

    Cheers
    Ross

    #2
    Ross, I think this relates to the max high / min low seen while you were in the trade, so it expresses how 'good' your exits captured what was available in the trade.
    BertrandNinjaTrader Customer Service

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      #3
      Hi Bertrand,

      I read the post and replied then reread and realised what you mean so have updated. So your calculating exit efficiency based on what could have been achieved only and not taking into account where price goes subsequently.

      Ok that makes sense.

      Is there any scope for making this graph more configurable so that one could analyse exit efficiency based on what happened to price after exit with a configurable look forward period allowing the user to define the look forward period.

      Assessing based soley on where price has been could potentially be reporting high exit efficiency when in fact your exiting positions far to early. If one had the ability to define a look forward period to be included in the max price seen this would cover this issue. Something that allows you to express the look forward period in terms of the number of bars the trade was open for would be great. So if defined as twice bars in trade and trade was open for 3 bars, max price high would assess the first 3 bars as well as the subsequent 3 bars following exit and take the high point from the full period to assess exit efficiency of the trade.

      Cheers
      Ross
      Last edited by DangerBoy; 06-12-2009, 01:12 PM.

      Comment


        #4
        Ross, this is not subjective as it's related to min low and max high seen in the trade - when you exit with a limit order at the highest price seen in the trade, the exit efficiency would be 100%. As the help states, it expresses how much of the available trade range you captured - http://www.ninjatrader-support.com/H...V6/Graphs.html
        BertrandNinjaTrader Customer Service

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          #5
          Thanks Bertrand, just seen that, you reply faster than I can respond

          See below.

          Cheers
          Ross

          Comment


            #6
            You're welcome Roos - thanks for the input and suggestion, I'll forward it for consideration.
            BertrandNinjaTrader Customer Service

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