MAE and MFE strategy metrics in the here and now....

[mdsvtr]

Good Morning,
I am wondering please, if there is a way to find out what my MAE and MFE numbers are, for my trading system that I am currently implementing , but instead of starting ' Today " and making a 100 trades to then get a feel for what my numbers are for my system ...... is there a way that I can go back say 1 year and put in my stop and target(s) and then run it forward from that point forward to get these two numbers ( MAE and MFE ) for that system ?

And for a profitable system , does the MFE number need to be twice as big as the MAE ? So basically and 2:1 profit/loss ratio ?

Thanks so much - Michael

[NinjaTrader_PatrickH]

Hello mdsvtr,

Thank you for your post.

You can use the Strategy Analyzer to backtest over a year of historical data and then view the MFE and MAE in the performance results. For information on the Strategy Analyzer please visit the following link: http://ninjatrader.com/support/helpG...y_analyzer.htm

In general, a greater MFE than MAE would be more favorable. There would not be a specific ratio that I am aware that would be a standard.

Please let me know if you have any questions.

[mdsvtr]

Hi Patrick

as always, I really appreciate your reply

I have never run a backtest or used the Strategy Ananlyzer ,
so I'm a bot wet behind the ears

I would like to know what the MAE and MFE are for my trading method, but trade purely discretionary , and have never used an form of automatic entry, automatic trail or any type of ATM

So given this, is there still a way, that I could go back 1 -2 years , and run a backtest using the Strategy Analyzer ?
How would my trades on the various Futures that I trade be run through the Analyzer ...... would I have to go in and manually " put in " where I would have entered each and every trade for that 1 - 2 year period , and then run the analyzer to get my results for each and every symbol ( TF, ES, CL, GC and ZS ) ?

Just new to running these type of tests and using the statistical mertrics ( MAE and MFE )
Would be a great benefit to know what my scores say about my trading method and tweak it from there .... tighter or loser stop at entry / shot for smaller or larger profit targets , etc.

Thanks so much - Michael

[NinjaTrader_PatrickH]

Hello mdsvtr,

Thank you for your response.

You could do this via Market Replay and then view the performance on the Account Performance tab. Keep in mind you can only download one day at a time but can replay as many days as you have downloaded in succession.

For information on Market Replay please visit the following link: https://www.youtube.com/watch?v=cgB1y3df7l0

Please let me know if I may be of further assistance.

[mdsvtr]

Great,
Thank you for the link to the video