Understanding MAE and MFE

[cbadr]

Hi everyone,

I was looking across the net in order to get a good understanding of the MAE and MFE to help me gauge my strategy performance... But i really don't get it !

Based on the two attached pic showing respectively MAE and MFE, could someone advise me on how to read these charts and what has to be considered to improve these stats...

Thanks
Chris

[NinjaTrader_PaulH]

Hello cbadr,

Thanks for your post.

Simply put MAE is how much drawdown you took on the trade. MFE would be how far in your favor the trade went.

I'll copy the helpguide definitions here:

Average MAE
This statistic returns a value representing the average maximum run-down your strategy experiences. This information helps you gauge how poorly your strategy’s entry conditions predict upcoming price movement directions. A low percentage here is desirable since it would imply that the price movement after you enter a position follows the direction of your intended trade.

Currency SUM(MAE * quantity * point value) of all trades / # of trades
Percent SUM(MAE * quantity / entry price) of all trades / # of traded lots
Points SUM(MAE * quantity) of all trades / # of trades

where MAE (max. adverse excursion) is defined as |worst price trade reached – entry price|, quantity is defined as the number of contracts traded, and point value is defined as the monetary conversion of each point (e.g. 100 for currency pairs).

Average MFE
This statistic returns a value representing the average maximum run-up your strategy experiences. This information helps you gauge how well your strategy’s entry conditions predict upcoming price movements. A high percentage here is desirable since it would imply high profitability opportunities.

Currency SUM(MFE * quantity * point value) of all trades / # of trades
Percent SUM(MFE * quantity / entry price) of all trades / # of traded lots
Points SUM(MFE * quantity) of all trades / # of trades

where MFE (max. favorable excursion) is defined as (best price trade reached – entry price), quantity is defined as the number of contracts traded, and point value is defined as the monetary conversion of each point (e.g. 100 for currency pairs).

Here is the link to all of the definitions: http://ninjatrader.com/support/helpG...efinitions.htm

[sledge]

It does not make sense in NT8.

I've tried to reason with support through the whole beta , and have gotten no where.

They took a different approach from NT7 (where it made sense).

MAE is reported as a positive number always. Nt 7 would show negative. I've questioned whether the data column was missing a format mask even.

Hi everyone,

I was looking across the net in order to get a good understanding of the MAE and MFE to help me gauge my strategy performance... But i really don't get it !

Based on the two attached pic showing respectively MAE and MFE, could someone advise me on how to read these charts and what has to be considered to improve these stats...

Thanks
Chris

[NinjaTrader_PaulH]

Hi Chris,

My first post was responding based on NT7 and missed that we are on the NT8 side here.

Here is the same info and link from the NT8 side:

Average MAE (Maximum Adverse Excursion)
This statistic returns a value representing the average maximum run-down your trades experience. This information helps you gauge how poorly your entry conditions predict upcoming price movement directions. A low percentage here is desirable since it would imply that the price movement after you enter a position follows the direction of your intended trade.

Currency SUM(MAE * quantity * point value) of all trades / # of trades
Percent SUM(MAE * quantity / entry price) of all trades / # of traded lots
Points SUM(MAE * quantity) of all trades / # of trades
Pips SUM(MAE * quantity / FX lot size) of all trades / # of trades
Ticks SUM(MAE * quantity / tick size) of all trades / # of trades


Note:
• MAE (max. adverse excursion) is defined as worst price trade reached – entry price
• 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 receiving real-time price updates, those prices within that period cannot be used.
• When backtesting, the high and low of the bar series is used


Average MFE (Maximum Favorable Excursion)
This statistic returns a value representing the average maximum run-up your strategy experiences. This information helps you gauge how well your strategy’s entry conditions predict upcoming price movements. A high percentage here is desirable since it would imply high profitability opportunities.

Currency SUM(MFE * quantity * point value) of all trades / # of trades
Percent SUM(MFE * quantity / entry price) of all trades / # of traded lots
Points SUM(MFE * quantity) of all trades / # of trades
Pips SUM(MFE * quantity / FX lot size) of all trades / # of trades
Ticks SUM(MFE * quantity / tick size) of all torades / # of trades


Note:
• MFE (max. favorable excursion) is defined as (best price trade reached – entry price)
• 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 receiving real-time price updates, those prices within that period cannot be used.
• When backtesting, the high and low of the bar series is used

Here is the NT8 Link: http://ninjatrader.com/support/helpG...efinitions.htm