MFE/MAE/Exit statistics in R

If you’re tracking your risk in Tradervue, you’ve always been able to view your P&L, as well as all of the reports, in terms of R.

We now also display Position MFE/MAE and Best Exit P&L in terms of R as well, if you have set an initial risk value for the trade. Here’s an example of how this looks:

If you don’t have a risk value set for the trade, you’ll still see these statistics as before, they just won’t be shown in R.

TradeStation liquidity data

If you’re using TradeStation, and you’d like to use the liquidity reporting in Tradervue, you can now do that if you’re using unbundled pricing from TradeStation.

In TradeStation’s TradeManager, just add the “Unbundled Route Fees” column to the Orders tab, prior to copying your data. As a reminder, a note about this appears on the Tradervue Import Trades page as well after you select TradeStation.

This is only available when using unbundled pricing at TradeStation – if you are on per-trade, or flat per-share pricing, the necessary data is unavailable.

Advanced Reports – drawdown (MAE)

We’ve added Quick Report presets for a couple of popular reports on the Advanced Reports tab that we often get questions about.

Trade drawdown in R

This one shows Position MAE, otherwise known as drawdown, plotted in terms of R:

The X axis here is just an index, meaning the trades on the chart are spread out across the X axis.

Let’s think through this. R is the maximum risk you indicated you would allow in a trade. So if we see trades with a drawdown beyond -1.0R, that means you may not have honored your stop, and perhaps broke one of your trading rules.

The size of the bubbles are proportional to their P&L – so large red bubbles have a larger loss. However, seeing smaller dots (or even green dots) below the -1.0 line in this case isn’t necessarily a good thing – in all of these cases, you let your loss in the trade run in excess of your predefined max risk.

Trade drawdown – stop analysis

Here, we look at Position MAE, in $ terms:

We’ve looked at this report before, but it’s now much easier to get to.

In the example here, we can see that any trade that ran against us more than $150 ended up being a loser. And in fact, almost all of the trades that ran more than $100 against us ended up losing, with few (and small) exceptions. So, we can say from the data that for the trades where we had looser stops, had we used a tighter stop of $100 (or $150), we would have done better overall.

Armed with this knowledge, we can now dive into the data and do some further analysis.

And more…

There are hundreds of possibilities you can look at in the advanced reports – definitely experiment with them, and see your data in a different light. For example, here we’re looking at Position MAE in R, plotted against our R in $:

It’s similar to the first report, but a bit of a different view. We can see the trades that we let run below -1.0R as before, but now we can see just how big our R value was for each of those trades. So here, we can see that for R values over $60, we generally respected our stops; for R values below that, we often exceeded the amount of risk we had planned.

Selectable base currency

A large number of Tradervue users trade from outside the U.S., trading forex, futures, and U.S. stocks. And since 2013, Tradervue has supported trading products that are denominated in other currencies – for example, futures traded on Eurex, BMF, and Montreal exchanges, and forex.

The P&L from a trade is initially calculated in the transaction currency; for example, a trade in AUD/JPY will have its P&L calculated in JPY. A TWTR stock trade will have P&L in USD, and a trade in FDAX futures will show a P&L in EUR. Examples of this are shown in the article announcing forex support.

These “native” P&L values are shown on the trade detail view, and before today, they were also converted1 to USD for reporting purposes. All of the P&L shown in the Dashboard, Trades View, Journal View, and Reports View was shown in USD.

Beginning today, you can change your base currency from USD to another currency, and all P&L displayed in the Dashboard, Trades View, Journal View, and Reports View will be shown in your selected currency. For example, if you want all of your data and reports to be shown in EUR, you can now do that. Here’s an example of a stock trade in COG (a USD-denominated product), with a base currency set to EUR:

The Trades View will show in EUR:

And the reports as well when running in currency mode (as opposed to ticks or R), including the charts:

And the statistics:

To change your base currency, go to the Dashboard, click Settings, and go to the new System Settings tab:

Choose the currency you want, and click Update. When you do this, all of your trades will change to show their P&L as “pending”:

They will be recalculated in the new base currency, which may take anywhere from a few minutes to several hours. During the conversion process, you may see unexpected data in the reports, as not all of the trades have been converted yet. When you no longer see any “pending” trades, the process is complete.

When you change currency, your commissions, fees, and initial risk values also change their currency. However, their values are not converted between currencies – rather, they are interpreted as being in the new currency. If you have a commission of $2.50 in USD, then change to EUR, it will then be 2.50 EUR.

This illustrates a key point – the system is not intended to switch back and forth between currencies often. It’s designed to set the base currency you want to use, and remain there. But now the the base currency no longer needs to be USD.

All users on the silver or gold plan can change their base currency starting today!


  1. The actual currency conversion takes place at the specific times that P&L is realized; refer to the forex article for details. 

View times of MFE/MAE

When viewing a trade, you can see the position and price excursion data (MFE and MAE) right below the execution list for the trade, as described in MFE and MAE calculations. This data can be extremely useful for seeing your maximum interim profit or loss in the trade, and in aggregate can be very useful for analyzing stops.

Today, we have added the ability to see exactly when the MFE/MAE occurred in a trade. Simply hover your cursor over the MFE or MAE value you’re interested in, and you’ll see a small popup with the timestamp it happened at:

Especially when looking at position MFE/MAE, it’s not always obvious on the price chart where this occurs, if you’re scaling in and out of a trade. Having the timestamp quickly accessible makes it much easier to find!

MFE/MAE data is available for all silver and gold subscribers.