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.

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.

Recent reports changes

On the Overview tab of the Reports View, the Recent report group has always shown the most recent 30 trading days of data. Now, we’ve added options to see 60 or 90 days with just a click:

These reports work with either gross or net P&L, and either in dollars, ticks, or R (risk).

And as always, it’s possible to see your cumulative P&L for any time range and set of trades you wish by going to the Reports View, Detailed tab, Win/Loss/Expectation group.

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:

Tradervue___Reports

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:

Tradervue___Reports

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:

Tradervue___Reports

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:

Tradervue___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%:

Tradervue___Trades

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:

Tradervue___Reports

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!

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!