Mae,mfe,etd

[billr]

I would like to know how reliable the MAE, MFE, ETD figures are in the Strat analyser. For example, assuming good data and no NinjaScript problems, could you look in the Trades tab and count the number of trades that had a $0.00 MFE and assume that in fact, that number of trades reversed against your entry for the period tested? (within the realm of backtest accuracy) OR is this statistic subject to some calculation or conditional quirks that may render it less accurate?

I understand the MAE is limited by stops, so is not a guage of how far the trade may have gone against you with a larger stops. Is there some mechanism that may distort the MFE results that are not obvious?

(Sorry if the questions sound redundant)

Thanks.

[NinjaTrader_Chip]

Hello billr,

Thank you for your post.

The following link will take you to the section of the NinjaTrader 7 Help Guide that details all performance statistics including MFE, MAE, and ETD. It also provides the formulas for all stats:

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?statistics_definitions.htm

Do you have an example of when these performance stats seemed to be somewhat errant or questionable?