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MFE / Mae


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MFE / Mae

  #1 (permalink)
 calhawk01 
baltimore marylnd
 
Experience: Beginner
Platform: ninja
Trading: es
Posts: 91 since May 2013
Thanks Given: 5
Thanks Received: 11

Hi

Does anyone have a custom optimization fitness variable for Mae / MFE; that DOES NOT use the default system.tradeperformance statistic Mae/MFE?

The default Mae and MFE for n8 are still wrong and I know they were wrong for ln n7 as well.

Reference as to why they are wrong: https://forum.ninjatrader.com/showthread.php?t=107215

Thanks

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  #2 (permalink)
 
shuglu's Avatar
 shuglu 
Melbourne
 
Experience: None
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They're just not interested in resolving this.

See this thread for reference.

But as long as we can post to social media............

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  #3 (permalink)
 brucerobinson 
Oxford Oxon./United Kingdom
 
Experience: Intermediate
Platform: NinjaTrader
Trading: Futures
Posts: 35 since Apr 2013
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shuglu View Post
They're just not interested in resolving this.

See this thread for reference.

But as long as we can post to social media............

They're wrong if you scale in or out of a position also. To do with how the average entry/exit is calculated when each are not all the same.
2 directions come to mind you might want to investigate:
pjsmith built an indie for NT8 that is to address something along these lines on a 'per day' basis. So you know 'where you're at' on price on average for your entries and exits. I don't know that it is what you need or will help you but am pretty certain it is to do with this issue, so may/may be worth contacting pj. The 'problem' as I understand it is the same whether it is entry/exit or MAE/MFE - NT doesn't average price correctly. Never did in 7, 'development are looking into fixing it in 8', yeah right, guess what..... Don't hold your breath.
2nd direction of relevance may be harder to track down - I remember a provider who taught scalping that had built an indie to display your average live position. So, if you entered on a strategy with 4 contracts at the same entry price, and subsequently scaled out, added back in, scaled out again all at different prices, it displayed your current net p/l, your current average entry price and MAE/MFE no matter how many contacts you had added and excited since entry until flat. Can't recall if you could make it cumulative for strategies also. Objective being to help average down a loser whilst being able to see your risk on the trade live. It was NT7. You couldn't buy the indie, it was part of a course/service. Unfortunately I can't help with the origin but hopefully this may jog someone else's memory, or give you some info for Google.
Both 'cracked it'. Lamentable NT haven't in 8.
Best

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  #4 (permalink)
 calhawk01 
baltimore marylnd
 
Experience: Beginner
Platform: ninja
Trading: es
Posts: 91 since May 2013
Thanks Given: 5
Thanks Received: 11


brucerobinson View Post
They're wrong if you scale in or out of a position also. To do with how the average entry/exit is calculated when each are not all the same.
2 directions come to mind you might want to investigate:
pjsmith built an indie for NT8 that is to address something along these lines on a 'per day' basis. So you know 'where you're at' on price on average for your entries and exits. I don't know that it is what you need or will help you but am pretty certain it is to do with this issue, so may/may be worth contacting pj. The 'problem' as I understand it is the same whether it is entry/exit or MAE/MFE - NT doesn't average price correctly. Never did in 7, 'development are looking into fixing it in 8', yeah right, guess what..... Don't hold your breath.
2nd direction of relevance may be harder to track down - I remember a provider who taught scalping that had built an indie to display your average live position. So, if you entered on a strategy with 4 contracts at the same entry price, and subsequently scaled out, added back in, scaled out again all at different prices, it displayed your current net p/l, your current average entry price and MAE/MFE no matter how many contacts you had added and excited since entry until flat. Can't recall if you could make it cumulative for strategies also. Objective being to help average down a loser whilst being able to see your risk on the trade live. It was NT7. You couldn't buy the indie, it was part of a course/service. Unfortunately I can't help with the origin but hopefully this may jog someone else's memory, or give you some info for Google.
Both 'cracked it'. Lamentable NT haven't in 8.
Best

Sent using the NexusFi mobile app

Thanks for the response. But this isn't related to average price as my two backtests are independent.

Suppose "xyz" happens and I go long

Then after 2 bars I exit

Above is an example of backtest 1

The other backtest is, same logic but exit after 4 bars.

And I'm comparing entries in excel for trades that entered at the same time. Therefore, my thought process is that if I enter trades at the same exact time and price during backtest 1 and 2, given that my exit for backtest is later than backtest 1, my MFE for backtest for these entries should always be greater than backtest 1, as my backtest 2 bars are cumulative (includes all the bars from backtest 1)

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  #5 (permalink)
 
Seahn's Avatar
 Seahn 
New York, New Jersey/USA
 
Experience: Intermediate
Platform: NinjaTrader
Trading: Futures
Posts: 161 since Jan 2013
Thanks Given: 63
Thanks Received: 274


shuglu View Post
They're just not interested in resolving this.

See this thread for reference.

But as long as we can post to social media............

I agree with that sentiment.

I reported issues with MAE/MFE a while back, as well as other problems with NT8. Basically tech support are willing to help as long as I do all the leg work in tracking down the problem. Its an endless stream of "can you try this", "can you try that".

Well, I do not have hours to spend as Ninjatrader's debugger. I clearly showed the problem, its their job to track down and solve it. But they are not interested in doing the work. At this point I do not even bother anymore.

Sorry for the off topic post and rant....

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