AVerage MAE, MFE, ETD

gg80108 · 12-12-2008, 04:14 PM

Is there any explanation on the meaning of these terms.. MAE MFE, ETD.. The explanation I have read for MFE :

Maximum Favorable Excursion is what was the maximum profit that the trade had before the trade closed .. I have a strategy that puts an automatic target so I would expect the MFE number to be close to my target of 6 tics but the MFE 8.62 tics,, is this positive slippage?

MAE 8.56
MFE 8.62
ETD 7.53

is this good or ???

NinjaTrader_Bertrand · 12-13-2008, 12:39 AM

Hi gg80108,

Please take a look here - http://www.ninjatrader-support.com/H...verageMFE.html

Good or bad is relative, but the number suggests you might want to try also a 7 or 8 tick target, because that is the average runup in profit your strategy is generating.

12-12-2008, 04:14 PM	#1
gg80108 Senior Member Join Date: Dec 2008 Location: Castle Pines, Co Posts: 621 Thanks: 1 Thanked 2 times in 2 posts	AVerage MAE, MFE, ETD Is there any explanation on the meaning of these terms.. MAE MFE, ETD.. The explanation I have read for MFE : Maximum Favorable Excursion is what was the maximum profit that the trade had before the trade closed .. I have a strategy that puts an automatic target so I would expect the MFE number to be close to my target of 6 tics but the MFE 8.62 tics,, is this positive slippage? MAE 8.56 MFE 8.62 ETD 7.53 is this good or ??? Last edited by gg80108; 12-12-2008 at 04:21 PM.
	Facebook Twitter YouTube

12-13-2008, 12:39 AM	#2
NinjaTrader_Bertrand NinjaTrader Customer Service Join Date: Sep 2008 Location: Germany Posts: 22,573 Thanks: 262 Thanked 1,018 times in 999 posts	Hi gg80108, Please take a look here - http://www.ninjatrader-support.com/H...verageMFE.html Good or bad is relative, but the number suggests you might want to try also a 7 or 8 tick target, because that is the average runup in profit your strategy is generating. Bertrand NinjaTrader Customer Service Use Kinetick, NinjaTrader’s preferred market data service - Learn More Free online training events - View Schedule
	Facebook Twitter YouTube

Thread Tools
Show Printable Version Email this Page
Display Modes
Linear Mode Switch to Hybrid Mode Switch to Threaded Mode

Similar Threads
Thread	Thread Starter	Forum	Replies	Last Post
What is ETD in performance report?	caeltrade	Miscellaneous Support	8	09-29-2010 06:12 AM
How does NinjaTrader Calculate MAE and MFE?	faith4more	Miscellaneous Support	1	09-12-2008 04:59 PM
MAE and MFE displayed on DOM Panel	duck_CA	SuperDOM and other Order Entry Windows	1	07-16-2008 12:40 AM
Using MFE & MAE in a stragetgy???	dendy	General Programming	3	11-08-2007 10:47 AM
What is ETD??	tonchi	ATM Strategies (Discretionary Trading)	1	02-02-2006 04:02 PM