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| Strategy Analyzer Support for automated system backtesting and optimization using the NinjaTrader Strategy Analyzer. |
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07-12-2007, 03:30 AM
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#1 |
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Member
Join Date: Jun 2007
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stoploss and MAE in backtest
I have made a simple crossover system and was looking at the trades. I saw that a few trades had a MAE that was much bigger than the stoploss.
The stoploss was 15 ticks on the ER2 and the MAE was 47 ticks. I checked the trade on the chart and the MAE should have been 6 ticks. The profit was correctly calculated as I was stopped out at 15 ticks. I have seen the same in other strategies. |
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07-12-2007, 03:33 AM
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#2 |
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Administrator
Join Date: Mar 2005
Location: Bamberg, Germany
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Can you reproduce? Is this realtime or backtested or both?
Dierk
NinjaTrader Customer Service |
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07-12-2007, 04:32 AM
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#3 |
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I observed it only optimizing or backtesting.
I optimised another strategy with the same results. How do I make a screenshot of the strategy analyzer so i can show you |
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07-12-2007, 04:35 AM
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#4 |
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Great, I would need:
- your strategy - a screenshot of the strategy settings as you backtest it - a screenshot pointing out an execution/trade exposing the problem - the data you test on: please export the data to a file by Tools->Historical data->Export Please PM all info to "dierk AT ninjatrader DOT com".
Dierk
NinjaTrader Customer Service |
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07-12-2007, 04:50 AM
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#5 |
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I presume that 1 minute bars historical data is adequate?
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07-12-2007, 04:56 AM
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#6 |
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Correct, provided your backtest runs on a 1 min series.
Dierk
NinjaTrader Customer Service |
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07-12-2007, 05:07 AM
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#7 |
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Backtest runs on 5 min
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07-12-2007, 05:09 AM
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#8 |
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Administrator
Join Date: Mar 2005
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Right, then 1 min series it the series to export.
Dierk
NinjaTrader Customer Service |
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07-12-2007, 08:02 AM
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#9 |
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Administrator
Join Date: Mar 2005
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This is a bug which will be fixed with next update (available within the next 2 weeks). Thanks for bringing this up.
Dierk
NinjaTrader Customer Service |
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