I use Ninjatrader and look at the MAE/MFE results in the tradelist.
Based on those numbers in backtest results I have, for example, noted the MAE value beyond which all trades are losses and set a stoploss to that value, expecting an improvement.
Exporting that same list to Excel and changing all trade results that had MAE at the above-mentioned value to the proposed stoploss+slippage, I have seen cumulative profit improve significantly, as expected.
When re-running the same backtest, with only the stoploss changed, the result generally appears to be much worse.
That, in itself, makes no sense and suggests to me that NT is giving BS information for the MAE/MFE values, but also wonder if I am applying the information incorrectly.
Does anyone have feedback on use of MAE/MFE in trying to improve trading systems?