Trade Performance Report MAE

[Momentum]

Hi

How is the MAE calculated in the Trade Performance Report? Is it on a close only basis or is it on an open position basis?

[NinjaTrader_Emily]

Hello Momentum,


Thank you for your post.


There is a note in the help guide definition for the MAE that explains "For real-time trades, the maximum and minimum price seen is recorded live during the duration of the trade and stored per entry/exit execution. This value includes bid/ask prices which may not be reflected on the chart. If there are time periods where you are not receiving real-time price updates, those prices within that period cannot be used." I have also tested by generating a Trade Performance report, then opening a position, and clicking "Generate" again on the report. The MAE value did not change. Once I closed the position and clicked Generate another time, then the MAE value was updated. It seems the exit price is needed in the calculation for MAE, so open positions are not included in the calculation.


For the full definition of MAE:

https://ninjatrader.com/support/helpGuides/nt8/index.html?statistics_definitions.htm#UnderstandingAverageMae

If you have any additional questions, please feel free to ask them here.