I bridge NT to excel in real time to pull data and create statistics/risk management not available on NT. It's probably relatively simple but I'm not sure of the formulas for scaled trade MFE & MAE in ticks. Assume CL is the instrument. To answer this properly please note the following:
* Flat to Flat is considered a "trade", ie: long 3, scale -1, scale -1, add 1, scale -1, flat
Easy example: Long 3 CL and trade moves -8ticks against before scaling at 15ticks, 25ticks and final flat at 30ticks.
- Total Trade MAE = -8 * 3 = -24ticks
- Total Trade MFE = +30 * 3 = +90ticks
Where I'm not sure how to adjust: Long 3 CL and trade moves -8ticks against and 1 lot is removed to reduce risk. Position now +2 Long and trade moves another -5ticks against before turning and scaling at +15 ticks and closing at +25ticks.
What are the position MAE & MFE's in the 2nd example and how to calculate? Thanks for any help!