Tag Archives: analysis

Simple stop analysis

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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 reports based on trading instrument behavior

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Wow…it’s been a great couple of weeks for analysis and reporting in Tradervue. On the heels of the new MFE/MAE calculations from last week, we’ve now added 8 new reports (16 if you also count the distribution charts) for analyzing performance based on what your stock or future was doing.

These are useful for everyone, but especially useful for equity traders, who may be trading a number of instruments based on news or order flow.

On the detailed reports tab (and also on the win vs. loss days and compare tabs), there is a new reports group called “Instrument”:

Click on that, and you’ll see the old performance by symbol reports at the top (these were previously in the Instrument/Price/Volume group), but then a bunch of new reports!

First, three reports based on instrument volume:

Distribution/Performance by Instrument volume – shows your performance plotted against the total volume traded on the day

Distribution/Performance by Instrument relative volume – shows your performance plotted against the relative volume traded on the day. Specifically, this is the volume with respect to the 50-day moving average of volume. Helps you understand your performance on days with unusually high volume, for example.

Distribution/Performance by Instrument Prior day relative volume – shows your performance plotted against the relative volume traded on the day before the trade. Specifically, this is the volume with respect to the 50-day moving average of volume. Helps you understand your performance on follow-through days, for example.

Then three reports based on the movement of the stock on the day you traded it:

Distribution/Performance by Instrument movement – shows your performance against the total move of the instrument on the day.

Distribution/Performance by Instrument opening gap – shows your performance against the opening gap of the instrument on the day. If you’re typically trading on news, and watching for large opening gaps, this can give you some insight into whether that’s working for you.

Distribution/Performance by Instrument day type – shows your performance plotted against the day type of the particular instrument you’re trading. Are you successfully capturing the move on days when your particular stock is trending? This will help you understand that.

And finally, two reports based on the Average True Range (ATR) of the instruments traded:

Distribution/Performance by Instrument ATR – shows your performance against the ATR(14) of the instruments traded.

Distribution/Performance by Entry % of ATR – shows your performance against how much of the ATR was already “used” on the day. For example, if you’re entering trades after they’ve already moved 2x their ATR, this will show you details about that.

In addition to all of that, the following statistics are now available in the Advanced reports for plotting on either axis:

  • Instrument volume
  • Instrument volume (% of 50ma)
  • Instrument prior-day volume (% of 50ma)
  • Instrument movement (%)
  • Instrument opening gap (%)
  • Instrument ATR(14)
  • Entry as % of ATR(14)

Whew! That’s a big update. The distribution/performance by instrument volume reports are available for all users, and the other new reports are available to all users with a silver or gold subscription. Give them a try today!

MFE and MAE calculations

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Tradervue now calculates MFE and MAE statistics for your trades! This has been a very popular request, and we’re happy to have it in for you now.

When you view a trade, below the list of executions you will see the “Show trade stats” link:

Clicking that link to show stats will show the MFE/MAE data for the trade:

Tradervue reports four different stats here:

Position MFE – the maximum interim profit during the trade. Usually referred to as Maximum Favorable Excursion, and sometimes referred to as runup.

Position MAE – the maximum interim loss during the trade. Usually referred to as Maximum Adverse Excursion, and sometimes referred to as drawdown.

Price MFE – the maximum favorable price movement during the trade, independent of position size.

Price MAE – the maximum adverse price movement, independent of position size.

We have also added two related reports – Distribution and Performance by in-trade price range:

This shows your trading performance (or frequency) by how much of a price swing the trade experienced while you were in the trade.

Average position MFE/MAE is also available on the Detailed report stats, and also on the win vs. loss and compare report tabs.

These new statistics and reports are available now for all silver and gold subscribers!

Profit Factor added to stats

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The statistics at the top of the Detailed reports tab now includes Profit Factor. It is also on the Win/Loss Days tab and the Compare tab, for each trade group.

In gross reporting mode, the profit factor is calculated as

    profit factor = gross profits / gross losses

In net reporting mode (for gold subscribers), the profit factor is

    profit factor = net profits / net losses

Where net profits and losses are the gross profits/losses, less commissions and fees.

New tag combination report

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Back in April, we released the Tag Breakdown report, which allows you to see your performance broken out by tag. For those using tags (and you should be!), this is tremendously useful:

You can also filter by tags, including multiple tags at a time, to help narrow down the trades you’re reviewing or analyzing.

But what if you use tags for, say, trade entry criteria, and you use multiple tags for different criteria? For example, perhaps you have some trades tagged with the following:

trade 1: support, ema9
trade 2: support, ema20
trade 3: resistance, momentum
trade 4: resistance, breakout
trade 5: support, ema20

You can quickly build filters to narrow down your data, but what if you wanted to see which unique combinations of entry criteria were most effective? To address this, we have added a new way to look at your tags, by clicking on the “Tag Combinations” button on the reports Tag Breakdown tab. This shows you the unique combinations of tags you have used:

You can combine this Tag Combination report with tag (and other) filters, as you would expect.

This new tag combination report is available now for all Silver and Gold users. If you haven’t tried all of the reporting and analysis capabilities of the silver or gold plans, you can try them out with a free 7-day trial!

(Free trial available to users who have not been on a premium plan in the past; if you’re eligible, you will see a note to that effect on the Plans & Billing tab when you go to upgrade.)

New video on interactive reports

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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!

Market movement reports are now interactive

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Following up on the recent changes to allow drill-down into reports data, we have added this same capability to the market movement reports! That means, for example, when you’re looking at the Day Type report:

You can now click on a specific market day type, such as “Trend down”, and analyze only the trades you made on days where the market was in a trend-down day.

For a refresher on how Tradervue defines the different day types, see this post.

New interactive reports

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Tradervue has always offered powerful filtering capability, allowing you to narrow down your trades to just the ones you want to see and analyze. Today, we’ve made this dramatically more powerful by adding the ability to drill down from the detailed reports to refine your filter.

Now, from the detailed reports tab, you can click on the bars in the report charts, and the current trade filter will be narrowed to just the trades making up that bar. For example, suppose you’re looking at the Days/Times group in the Detailed report, and you see the Performance by Day of Week chart:

Monday looks like it’s been a good day; if you click on the blue “Mon” bar, you’ll be able to narrow down your trades:

Click OK, and you’ll only see trades from Mondays:

The Day of Week report is certainly less interesting now, but let’s now look at the Performance by Hour of Day report – remember we’re only looking at trades from Mondays, and breaking them down by hour of day:

We could now click on the 9:00 bar, to filter by only trades on Mondays in the 9:00 hour.

With this new filter active, we’ll go over to the Market Behavior group, and we can see that we’re historically profitable no matter what the market conditions, on Mondays in the 9:00 hour:

Compare that with the overall performance (all of our trades) based on market movement:

And we can see that we are indeed doing something different on Mondays on the open. We can now use any of the other reports, or even look more closely at the individual trades, and analyze what we’re doing differently on those first trades of the week.

When we have filters active that aren’t normally exposed from the global filter bar, we’ll see the green bar expand and show us the additional filters we’re using:

It’s not just days and times; this works with the Instrument/Price/Volume, Days/Times, Market Behavior, and Liquidity groups on the Detailed reports tab. It also works on the Compare tab. And when you click in one of the reports, the new filter is additive to the existing filter – so you can refine your filter as you go.

This is quite powerful – give it a try with your own trading data, and see what you can uncover!

Interactive reports are available for all silver and gold subscribers.

UPDATE: the Market Behavior report groups now support interactive drill-down as well!