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Historical MAE Error?
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Historical MAE Error?

  #1 (permalink)
Elite Member
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Historical MAE Error?

It doesn't seem like NT7 is calculating the MAE correctly on my historical trades. I did a quick check against the WIKI to make sure I understood the stat which I think of as the max draw-down during a single trade. This is how I calculate it within my own tools.

Here is a historical set of data:
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The MAE ends up tracking the Profit for the trade (offset by the commission). Do I have something set wrong as I have lost some time because I saw some of these trades, set the Stop Loss to eliminate all the losing trades only to find many of the profitable trades now stop out (although they had a MAE = 0 prior to the SL being set).

It is clear the MAE=0 trades (some) dipped to a lose during the active trade, why doesn't this stats window reflect that fact?

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  #2 (permalink)
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What bar type are you using? Use something like a range bar, not any exotic bar type built (not renko based) and see if it works.

Mike

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  #3 (permalink)
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Big Mike View Post
What bar type are you using? Use something like a range bar, not any exotic bar type built (not renko based) and see if it works.

Mike

I am using a simple 1 Min bar type. Nothing exotic, figured easiest case. Also noticed that ETD is equal to the commission for profitable trades, so something simply isn't working.

One thing to note is this is a MTF strategy, everything is traded on the primary 1 Min bar, but there is a 5min and 10 min bar as the 2nd and 3rd timeframe (only used for indicator calculations).

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  #4 (permalink)
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NJAMC View Post
I am using a simple 1 Min bar type. Nothing exotic, figured easiest case. Also noticed that ETD is equal to the commission for profitable trades, so something simply isn't working.

One thing to note is this is a MTF strategy, everything is traded on the primary 1 Min bar, but there is a 5min and 10 min bar as the 2nd and 3rd timeframe (only used for indicator calculations).

I suggest deleting the Documents\NinjaTrader 7\db\cache, and Documents\NinjaTrader 7\cache directory (stop Ninja and restart when doing this). I have had these become corrupted before, as have others, and cause all kinds of weird problems with backtests.

You might also repair your database, and/or "delete" it by renaming it to something else and restarting NinjaTrader to see if it solves the problem.

If none of these solve it then it's something with the strategy code, first prove a working sample on a single time frame strategy.

I cannot help much with MTF strategies because to be honest I gave up on getting them to work, just too many "gotchas" I kept running into. Are you using the LOM?

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

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  #5 (permalink)
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Big Mike View Post
I suggest deleting the Documents\NinjaTrader 7\db\cache, and Documents\NinjaTrader 7\cache directory (stop Ninja and restart when doing this). I have had these become corrupted before, as have others, and cause all kinds of weird problems with backtests.

You might also repair your database, and/or "delete" it by renaming it to something else and restarting NinjaTrader to see if it solves the problem.

If none of these solve it then it's something with the strategy code, first prove a working sample on a single time frame strategy.

I cannot help much with MTF strategies because to be honest I gave up on getting them to work, just too many "gotchas" I kept running into. Are you using the LOM?

Mike

I will give that a shot, Deleted the NT7\Cache directory earlier but I will try the db cache as well. I am not using LOM as of yet, might dust it off to handle some of these issues. Also might just print out my own stats, would be nice to use them within NT7 for debugging.

I will test it out tomorrow, need to turn in still recovering from a Cold or something...

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  #6 (permalink)
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NJAMC View Post
I will give that a shot, Deleted the NT7\Cache directory earlier but I will try the db cache as well. I am not using LOM as of yet, might dust it off to handle some of these issues. Also might just print out my own stats, would be nice to use them within NT7 for debugging.

I will test it out tomorrow, need to turn in still recovering from a Cold or something...

I believe the db\cache directory is the one that used to cause me and others trouble, I delete the other one too because I can.

Good luck, feel better!

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
The following user says Thank You to Big Mike for this post:
 
  #7 (permalink)
Elite Member
Atkinson, NH USA
 
Futures Experience: Intermediate
Platform: NinjaTrader 8/TensorFlow
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Posts: 1,925 since Dec 2010
Thanks: 2,962 given, 2,294 received

@Big Mike,

I had to restart NT7 as it crashed do to a bad coding problem, when I restarted, I tried a slightly different set of months of data. It seemed to of fixed itself when I did this, something was corrupt...

Thanks,
Greg

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LOM WIKI: NT-Local-Order-Manager-LOM-Guide
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