Mae, mfe

[newworldguy]

I run a backtest and I see:

Average MAE 0.43% in red
Average MFE 0.70% in black
Average ETD 0.73% in red

I have read the definitions but was interested to know how to interpret these numbers. What MFE number is considered good? is it relative to the Average Winning Trade ( in my case 0.96%)?

What is the significance of the color coding?

For example if you have 0 draw down on a trade during its lifetime will the MFE be 100%?

In which case 0.7 is pretty low.

[NinjaTrader_Bertrand]

newworldguy, the MFE / MAE are expressed relative to the entry price - generally the lower the MAE and the higher the MFE is better. As it would mean you can 'predict' scenarios with a high likely runup in profits with a low amount of 'heat' against your position. So it's hard to say which absolute # is good, since they are not bounded and would be need to also seen in relation to your market / timeframe / approach. The coloring outcome would be expected and would not really have an interpretation. Just signifies the MAE / ETD would not be favorable to your equity while the MFE would be.

[Mikel618]

Where do yo find these definitions?

[NinjaTrader_PatrickH]

Hello Mikel618,

Thank you for your post and welcome to the NinjaTrader Support Forum!

For information on the statistics and their definitions please visit the following link: http://www.ninjatrader.com/support/h...efinitions.htm

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