Mfe?

[gg80108]

Not sure I quite get what this MaxFavorableExcursion is coming from.. enclosed is a trade that went straight bad, but says it had a 90 MFE?

[NinjaTrader_Chip]

Hello gg80108,

Thank you for your post.

From the screenshot I am not able to accurately assess how the 90 figure was calculated. Is it possible that the high of the entry bar was included in this calculation? If you want to look at these metrics in a more conclusive manner you will probably want to look at doing a bar-by-bar export into Excel (would require some scripting). This would enable you to evaluate every trade in the strategy’s series from start to finish. You could then identify perceptible anomalies & then see what may have been the contributing factor(s) to the results.

[gg80108]

Ya see what u mean,, I know this was a limit order and running replay file for the day, was filled at the bottom of the bar and never had any MFE.. Looks like the MFE should ignore the entry bar on limit orders since using bar data, doesn't have a clue , this probably works ok with a market order but on a limit order just shouldn't guess..