To investigate non-linear dynamical systems, like for instance artificial satellites, Solar System, exoplanets or galactic models, it is necessary to have at hand several tools, such as a reliable dynamical indicator. The aim of the present work is to test a relatively new fast indicator, the Mean Exponential Growth factor of Nearby Orbits (MEGNO), since it is becoming a widespread technique for the study of Hamiltonian systems, particularly in the field of dynamical astronomy and astrodynamics, as well as molecular dynamics. In order to perform this test we make a detailed numerical and statistical study of a sample of orbits in a triaxial galactic system, whose dynamics was investigated by means of the computation of the Finite Time Lyapunov Characteristic Numbers (FT-LCNs) by other authors.