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.

API sample to add industry tags

We’ve written a short sample application in Python that uses the Tradervue API to add industry tags to your trades, based on their symbol. It’s only a sample – you’ll need to add the list of tags you want to use – but it demonstrates how to do it in a straightforward manner.

You could use this same code to add other tags to your trades as well. For example, you could add a “preferred” tag to all of your trades in preferred stocks.

The possibilities using the new API are endless!

Journaling workflows

If you’re keeping a trading journal with Tradervue, and writing specific notes for each trade you make, there are several different workflows you can use to do this easily. Specifically, you can:

1. If you’re using an auto-importer (such as Journal Lync), you have the best of all worlds; you can simply make notes as you go, and your executions will be loaded in near real-time. Importing can be automated via our API.

2. You can import your trades at the end of the day (or at whatever frequency makes sense for you), and then make notes on your trades. This is simple and easy, but the downside is by the time you import your trades, you may not remember everything that you would have liked to make notes about.

3. You can make per-trade notes throughout the day, and then have your imported executions “match up” with those notes when you import at the end of the day.

Let’s dive into a bit more detail about how the third option works.

Suppose you just opened a trade in TWTR a minute ago. You have a bunch of things that are fresh in your mind about why you entered this trade, and you’d like to make some notes about it. Do the following:

1. In Tradervue, click “New Trade”. Enter TWTR as the symbol, and enter the notes that you want to capture:

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2. If there are tags you want to apply to the trade, add them here. If you’re using account tags, add a tag for the account.

3. If you’re using risk tracking, enter your initial risk.

4. Save the trade.

Now you have the trade saved, albeit with no executions yet.

Later in the day, perhaps you make an adjustment to the trade, and want to make additional notes. From the Trades View, find the TWTR trade, and click “details” to open it. Now you can enter additional notes, add/remove tags, etc. You can repeat this throughout the day:

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At the end of the day, import your data from your trading platform as you normally would. What will happen is the executions making up the first trade in TWTR will be attached to the empty trade you created earlier in the day:

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This is a very useful way to make the best use of your journal throughout the trading day. You can make notes on your trades when your thoughts are fresh in your mind, and not lose any nuance that you might miss if you wait until the end of the day.

Post journal entries from 1Writer on iOS

We’ve recently made some major additions to our API, and there has been quite a bit of interest around them. Today we will demonstrate a 1Writer action, where you can create journal entries and notes from the powerful markdown editor app on iOS.

After you’ve installed 1Writer from the App Store, you can install the Tradervue Journal entry action from the directory. Once installed in 1Writer, you’ll need to add your Tradervue username and password to the script, so it can use your account. Tap the “…” button in the lower left corner of the 1Writer editor, and tap the “i” icon next to the Tradervue Journal entry action:

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Then in the source code for the action, enter your Tradervue username and password at the top of the script. So change the first four lines to look something like this, but with your own username/password:

// Enter your Tradervue username and password below
username = "joe_user";
password = "seekrit";
//

Then you can close the action and go back to the editor.

Now, when you tap the “…” button in the editor, you’ll see a list of options:

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If you tap “Open today’s journal entry”, it will open the notes for today’s journal entry in the current note in 1Writer:

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You can then edit that entry, perhaps adding some additional notes to the end:

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Then tap the “…” button again, and select “Save today’s journal entry”, and it will be saved to Tradervue as you would expect:

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You can also save the current note in 1Writer as a new Journal note – if you haven’t used them before, see Journal Notes in Tradervue.

Note that this action is primarily intended as an API sample, and is unsupported – but that said, it’s super handy, so feel free to use it!

Using Tradervue for analysis

Grove Under has been using Tradervue for quite some time, and last week he wrote a post called Using Tradervue for analysis of autotrading The Lincoln Million. Basically he has been autotrading a system for the last couple of months, and he goes into some analysis of it using Tradervue.

One of his charts shows an analysis of the stops he used:

TLM review 4 4-12-2013

This chart yields quite a bit of insight into how the system has been working, and possible ways to improve it…and he’s got a lot more where this came from. I encourage you to go read the entire post – there are some great nuggets of analysis wisdom in it!

Simple stop analysis

A couple of weeks ago, I was having a conversation over email with someone who was trying different stops and wanted to evaluate their effect on his performance. After thinking about this a bit, I wanted to mention a quick and dirty way to see whether using wider stops is effective for you.

To create the following chart in Tradervue, I went to Reports, clicked the Advanced tab, and selected:

  • X-axis: Trade open date/time
  • Y-axis: Position MAE
  • Scale data points by trade P&L – checked

On the horizontal axis we’re plotting the trades against time; this doesn’t matter too much in this case, I just wanted to make sure we spread them out over the chart. On the vertical axis, we’re plotting the position MAE. This is the maximum interim loss we experienced in each trade. And finally, the size of each point represents the P&L of the trade. Green is a win, red is a loss, and the relative size of the point represents the magnitude…so big and red is bad, and big/green is good.

During this period, I was typically using stops on my positions that represented a total of $40 of risk. I was, however, experimenting with using larger stops for some trades.

So how did it go? Well, if we look at the -$40 line, all of the trades below that line were trades that had wider stops, and thus moved against me more than $40 at some point during the trade. I know this with certainty since, if they had stops of $40 or less, they would not have moved against me more than $40.

Looking at the trades below the -$40 line, I see that there were a couple of wins (these would be trades that moved against me more than $40 during the trade, but turned around and became winners), but many more losses.

So in this case, we can see at a glance that in these particular circumstances, widening my stops to more than $40/trade was not effective. Not at all!

This is, of course, a very simplified way to look at your stops, and there are many more factors you may want to consider…but this gives you a quick view of what actually happened, and may allow you to make some decisions more quickly.

[Advanced reports used for this post are available for all silver and gold subscribers.]

New video on interactive reports

We’ve uploaded a video on using the new interactive reports. We walk through the trading for one particular trader, and analyze his trading performance when trading on the market open. In this particular case, we find that on Mondays at the open his performance is much better than other days, and we further look into whether aggressively opening positions (e.g. removing liquidity) is the winning strategy for this trader.

See the 3-minute video here: Using the Interactive Reports

And don’t miss the other videos, including a 6-minute getting started with Tradervue video; you can find them all at Tutorials and Help Videos!

On reviewing your trades

From a post on Grove Trades:

I’ve taken the last several months of trades and imported over 900 historical trades into an online trading journal a couple weeks ago. For those who don’t have a trading journal setup yet, www.tradervue.com is a great new online trading journal that’s free. I really like it after reviewing many others (free doesn’t hurt), and the reports are also useful. Simple and elegant to use, but powerful.

By reviewing each of my historical trades carefully one by one (and trying to relive the moment — why I took it, how I felt, etc.), and then writing journal notes and placing appropriate tags with useful metrics (grade, setup type, outcome, market conditions, target met or not, etc.), I can run reports to see what setups are working for me, how much those setups make, win/loss %, how well I executed, what type of trades are NOT working for me, etc. To get these types of reports, the “trick” is to spend the big effort to add meaningful tags into your trade journal records.

As you, Dr. Brett, and others have mentioned, I want to focus on my strengths. This journal is helping me significantly to discover what my strengths are, via facts from my actual trading results.

It’s definitely worth reading the whole thing, as well as the article on the SMB Capital blog that it’s referring to. It’s fun to hear from folks who find Tradervue is making a real difference for them!