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.

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.

Trend report additions – MFE/MAE

We’ve added some additional statistics to the new trend reports that were launched a couple of weeks ago. Specifically:

  • Position MFE, Position MAE – the max favorable/adverse excursion of a trade’s total position value
  • Price MFE, Price MAE – the max favorable/adverse excursion of the instrument price during a trade, independent of position size

These new additions can surface some interesting trends in your trading. For example, here’s a 100-trade moving average of Position MAE:

trend_posmae 2

The blue line isn’t part of the chart – it’s just there to help illustrate that at this point, we changed our trading methodology such that trades were given a maximum of about $20 of room to move against us; another way to say this is we tightened our average stops to something less than $20.

Now let’s look at the Position MFE moving average chart:

trend_posmfe 2

We can now see that at the same time, it seems we no longer let our trades run in the positive direction. Whereas before this change, our stops were looser, but we also let trades run up about $25-60 before closing them; after the change, trades were usually cut after reaching a max P&L of $25.

Another tool in your chest to help evaluate your trading performance!

MFE and MAE calculations

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!