Trend reports – MFE/MAE ratio

Tradervue’s trend reports are a powerful tool for discovering trends in certain performance-related statistics, such as Win %, per-trade P&L, MFE and MAE, and so on over time.

We have added the position MFE/MAE ratio to the trend reports. In general, a higher ratio (> 1) is better, as it means your trades are moving further in your favor than than against you (i.e., average MFE is greater than average MAE). A lower ratio (\< 1) means that, on average, your trades move against you further than they move in your favor (i.e., average MFE is less than average MAE).

As with the other trend reports, this can be displayed as a n-trade moving average, or a n-day moving average.

Reports based on Moving Averages

We have added new reports showing distribution and performance based on your entry price in relation to various moving averages for the instrument you’re trading. These can be surprisingly useful in identifying previously unknown patterns in your performance.

In the chart above, the “less than -5%” bar, for example, shows performance for trades that were entered at a price that was more than 5% below the 100-day SMA for that instrument.

These reports are available in Reports View, Detailed tab, Instrument group. They are also shown in the Win vs Loss Days and Compare tabs, in the instrument group.

5-, 10-, 20-, 50-, 100-, and 200-day simple moving averages are available. And as with most reports, these are interactive and support filtering on the data by clicking on the bars in the reports.

So as an example, let’s look at the 10-day SMA chart for a particular set of trades:

We’re seeing poor performance when entering a trade where we’re significantly extended above the SMA(10). If we filter to show only trades at or below +5% above the SMA(10), we now see:

With that filter enabled, if we now switch to the SMA(5) chart, we can see that we could potentially further refine our system by eliminating trades more than 1% above the SMA(5):

This can be especially valuable when, for example, the SMA’s are not part of your entry criteria for a trade, but the data reveals that they can help refine your system to improve the probability of winning.

SMA reports are available now for all users. Users on the free plan have access to the 50-day SMA only; silver and gold users have access to all of the supported SMAs.

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.

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.

New report for duration of intraday trades

We have added a new report, showing distribution and performance for intraday trades based on how long you held the trades open:

You can find the new report in the Reports View, Detailed tab, Days/Times group.

The report is interactive, as well, so you can click on a bar in the report to create a filter showing only trades that make up that bar. So if you’re doing particularly well with your trades that are 2-5 minutes in duration, you can drill down into them for further analysis. If you haven’t used the interactive reports before, here’s a short (3:01) video demonstrating how to use them.

Exit Analysis

There has been much written (with more every day!) about where to enter a trade. But often, exiting a trade is even more important in terms of impact to your P&L – and for many traders, much more difficult. So we have added some calculations to help analyze your trade exits – helping you answer the questions like did you exit at the right place, and how much did you leave on the table?

Before we get too far into this, let me mention that for some trades, this is irrelevant. If you enter a momentum trade, it ticks up a few points, and you sell when the momentum dries up, you made the right decision according to your plan. If the stock consolidates for an hour, then pops up another 6 points, it doesn’t matter – you still made the right decision. On the other hand, if your plan was to make a trend trade, then perhaps you should have captured more of the move.

Starting today, Tradervue will calculate the “best exit” P&L for each of your eligible trades. That best exit is determined by “floating” the last exit executions up to their highest point (or lowest, in the case of a short); this exit point may be before or after your actual exit. By looking at this best exit value in comparison to your actual P&L in the trade, you can quickly see how efficient you were in terms of extracting P&L.

Let’s consider a simple trade in FDX. We bought, we sold a bit, then we bought some more, and then exited:

Tradervue___Trade_DetailLooking at that last exit, we see that if we had delayed it a few minutes, we could have extracted much more from this trade.

Sometimes you might scale out of a trade in pieces. Perhaps you sell part to cover risk, sell part into an anticipated resistance level, and then sell the last part on a discretionary basis. Tradervue will assume all exits prior to the last one are done according to your trading plan, and won’t question them – but it will make calculations based on the last one. So for example:


For this trade, only the last execution will be moved around to find the best exit P&L.

Of course, none of this matters if you would have to suffer a large drawdown to get to your theoretical maximum P&L. For this reason, Tradervue takes risk into account when calculating your best exit P&L. Specifically, it looks at:

  • How much drawdown did you take on in the real trade (i.e. the Position MAE of the trade). We’re not going to assume you’re willing to take on more risk than this.
  • What was your specified Initial Risk value for the trade? (if you’re using Tradervue’s risk management features)

The larger of those two values will be used as the max drawdown value when calculating where the best exit would be.

As an example:


We see that the last sale could have been much better – about 0.75 higher. However, immediately after that last sale, we see the price dropped further. We were already at a loss at this point, and if we held that last part of the position, we’d be at an even greater loss than you took in the actual trade – which, unless a larger initial risk was specified, is not acceptable. Therefore, the best exit for that execution would be the top of the exit bar, only about 0.06 higher than the actual exit.

However, suppose the plotted executions were 100 shares each, and we specified an initial risk value of $50. In that case, the drawdown after the last exit would not exceed the allowable risk, and it would be moved to the peak at about 31.80 for purposes of best exit calculations.

Tradervue will calculate two values for each trade:

  • the best exit P&L
  • the exit efficiency (in %)

The exit efficiency is only calculated for trades that you closed as winners, and is calculated as

(actual P&L) / (best exit P&L)

Basically, it represents what % of the theoretical P&L did you extract from the trade.

This data can be quite surprising; look at this short V trade:

Tradervue___Trade_DetailWe see there were some entries and exits working into this trade, and then the final cover at about 74. But we can also see that without accepting any additional risk, the best exit would have been at about 67. For this trade, that makes our exit efficiency at about 9.2% – clearly a trade we can learn a lot from, and study further to help us understand why we exited so early.

The new calculations appear in several places:

  • It’s in the trade statistics for each trade:

    Tradervue___Trade_DetailIf you hover over the words “Best Exit P&L”, the time of the best exit will be shown.

  • There are new Best Exit and Exit Efficiency columns available in the Trades View:


  • Selectable data points in the advanced reports:


Exit analysis is automatically done for all closed stock, futures, and forex trades, under 7 days in duration, done during regular market hours (for stocks). The time period considered runs out until the end of the trading day for each trade (which may be the next calendar day for futures).

There are some further specifics available on the Exit Analysis help page.

Exit analysis is available today for all users on the gold subscription plan!

UPDATE 04/13/2015: Exit analysis is now enabled for forex trades.

New relative volatility report

A while back, we added reports into Tradervue that would show how trading performance related to the behavior of the underlying instrument, including its Average True Range (ATR). Today, we’ve added a new report related to these.

ATR represents the recent volatility in a trading instrument, in terms of the average daily range of movement in the instrument. The new report shows the True Range of the instrument on the trading day, divided by the ATR(14), expressed as a percentage:


This TR/ATR is a measure of relative volatility of an instrument; namely, did it move more or less today relative to its recent 14-day average range. The higher the percentage, the more the instruments true range on the day exceeded the ATR, and was thus more volatile than expected.

In the example above, we can see the trader’s P&L performance was dramatically better on days when the instrument he was trading was moving more than its ATR, and underperformed when the instrument was moving less.

The new reports are available immediately for all silver and gold users on the Reports View, Detailed tab, Instrument group. They are also available on the Win vs Loss Days and Compare tabs.

New weekly performance report

You can now view weekly realized P&L performance, in addition to the year, month, and day periods. From the Reports View, go to the Overview tab, and click the Year/Month/Day group. Just below the yearly performance, you’ll see options for monthly and weekly:


Just click “Weekly” to see your distribution and performance by week for the selected year. As with all of the reports, these can be run in terms of aggregate or per-trade average performance, either gross or net, and in units of $, ticks, or R.

For reporting purposes, a “week” runs from Sunday to Saturday, and January 1 is always considered to be in week 1.

Market behavior report updates

The Market Behavior reports are designed to show your trading performance against what the overall market is doing; it’s shown based on market movement, gap, and day type:


We’ve always used the SPY ETF as a proxy for market performance. But as you know, not all markets move the same, and many users have asked to be able to compare to different markets. So today, we have added the ability to select which market proxy you would like to use for these reports:


Currently in the list are:

  • SPY
  • QQQ
  • IWM
  • XLF
  • GLD
  • USO
  • VXX

These reports are interactive, and what’s really special is you can stack filters from different markets together.  For example, you can create a filter to show trades made on days where the QQQ gapped down over 2%, and the VXX closed up over 2%:


These new additions are available today for all silver and gold subscribers. Free subscribers will continue to have access to a non-interactive SPY-only version of the report.

Time-of-day report additions

We’ve enhanced the Hour-of-day reports to show additional intervals of 30 and 15 minutes,  in addition to hours:


Click one of the links shown, and the report will change to show performance broken out by 15- or 30-minute intervals.

These new options apply to the Detailed, Win vs Loss Days, and Compare tabs in the Reports View, and are available now for all silver and gold subscribers!