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!

Trend reports now available

Often we want to analyze trading performance not just as a snapshot, but over time – to see if we are improving, see if a particular strategy is working better/worse, etc. And while we can look at a cumulative P&L to see part of this, that doesn’t always tell the whole story.

Tradervue has introduced new trend reports to help with this analysis. From the Reports View, click the Advanced tab, then go to the Trends group:

trend1

Once you do that, you’ll be able to look at running averages of your per-trade P&L and your win rate. So for example, here we are looking at a 50-day weighted moving average of win %:

trend2

From looking at this chart, we can see a pronounced downturn around 10/2010, and we can use this information to help us drill down and understand what’s actually happening.

The trend reports can display P&L (in either $ or R), and win percentage, charted in one of two ways:

  • n trade moving average – this shows a moving average over the last n trades; the x axis will be the index into the list of trades being shown, sorted by open date/time.
  • n day moving average – this shows a weighted moving average of the per-trade P&L over the last n days. This is not an average of the daily P&L, but rather an average of the per-trade P&L.

As with all of the other reports in Tradervue, you can narrow the trade data used for the chart by using the trade filter. So, for example, you could look at the win percentage over time for one particular strategy (using tags), or just one particular symbol, or anything else you’d like to filter on.

For additional information on the trend reports, refer to their help page. And if there are other statistics you’d like to be able to view on these charts, let us know!

These new reports are available today for all silver and gold subscribers.

Print your journal and reports

It’s now possible to print your Journal or Reports – which has been a very popular request! To print, just visit the Journal View, or the Reports View, and use the normal print function in your browser. The format will change to be appropriate for printing:

print1

We recommend using Chrome, Firefox, or Safari for best results when printing.