MAE and MFE for individual Trades

[sgordet]

I assume that the Avg MAE and Avg MFE columns in the Trade Performance-->Analysis report are not average but the actuals when the Trades view is selected. Is that correct?

A second question:
I've attached the Trades analysis report--the scatter graph of the Avg MAE is below. I don't understand why some of the dots are in positive territory. It would seem to me that since the trading profit for each trade is zero when you enter the trade, zero is the maximum positive number the adverse excursion could be. Could you please explain?


Thanks,
Stephen

[NinjaTrader_Zachary]

Hell sgordet,

Thank you for your inquiry.

1. Correct. It is the per-trade actual MAE and MFE on the 'Trades' display. The following section of our help guide contains a definition of the each of the columns of the 'Trades' display;

https://ninjatrader.com/support/helpGuides/nt8/index.html?performance_displays.htm#UnderstandingTheTradesDisplay

2. It's possible to have an MAE on a positive trade because the worst price during the course of the trade is tracked based on your entry price. For example on trade # 5, you closed at a profit but there is still an MAE of $30 because, at some point during the course of the trade, the market had went -$30 below your entry. You could have lost $30 dollars on that trade, but it turned around and you ended up with a profit of $130. Now, its important to note that if you disconnect at any point with a trade open, the MAE and MFE values can become inaccurate because the Trade Performance window does not have access to the price data at times when you are disconnected.

Please let us know if we may assist you any further.