How does NT calculate MAE, MFE, etc. for trades with multliple entries & exits?

[rassom]

Hi,

How does NT calculate the MAE, MFE, etc. for trades with multliple entries & exits?

Thanks

PS. I did read http://www.ninjatrader.com/support/h...efinitions.htm but that doesn not provide the answer.

[NinjaTrader_Kyle]

Hi rassom,

Thank you for your post.

Exactly the same formulas are used for these calculations. The entry/exit prices are based on averages.

[rassom]

Originally Posted by NinjaTrader_Kyle

Hi rassom,

Thank you for your post.

Exactly the same formulas are used for these calculations. The entry/exit prices are based on averages.

Hi Kyle,

Thanks for the quick reply which leads to a couple of follow up questions which I hope you will help clarify:

I would think using averages for key figures such as MFE, MAE etc will never be correct as they use the high/low of the period from entry to exit for calculations.

1. If you scale into a trade with an entry on Monday buying 100 shares @ 4.49 and then another entry on Wednesday buying 200 shares @ 4.90 which day (date) does Ninjatrader use for the calculations of these key figures?

2. If you, as above, scale into a trade with an entry on Monday buying 100 shares @ 4.49 and then another entry on Wednesday buying 200 shares @ 4.90 which entry price is used? The normal average (4.695) or the weighted average (4.763)?

3. Just to make sure we're on the same page: Do you agree that using an average entry price would always result in an incorrect MAE or MFE calculation?

Thanks :-)

[NinjaTrader_Kyle]

Hi rassom,

Thanks for your feedback - I can see how this could be considered to be incorrect. I'll forward your comments here on to development for further consideration.

[rassom]

Hi,

Did you get an answer from them?

Thanks

[NinjaTrader_Kyle]

Hi rassom,

I've forwarded your feedback on the calculation of these items to development for consideration as a future change. Unfortunately, there's no word on if any changes would be implemented at this time.

[rassom]

Hi Kyle,

Any news from development?

[NinjaTrader_Kyle]

Hi Rassom,

This item remains on developments list of future considerations. I have no additional update on the development status of the item at this time, but I will update this thread if and when a update becomes available.

[rassom]

ok - thank you

[relogical]

Any news on this? Not using Weighted Average Cost is a huge mistake on NT's part. There also should be LIFO method as well.

[NinjaTrader_Jason]

Hello relogical,

Unfortunately there is no news available regarding this item. It is still on the list of future considerations, but there is no information if and when it will be implemented.

[JoshDance]

I would also like to add my vote for a correct implementation of MAE and MFE. As it stands now, I can not do a simple export--I have to manually calculate this data, and it takes unnecessary extra time to do so. In fact, it would be better to simply not have these metrics available, if they are not correct, which they clearly are not.