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Trading Journal with Best Exit P&L?


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Trading Journal with Best Exit P&L?

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  #1 (permalink)
Seattle
 
Experience: Beginner
Platform: NinjaTrader
Trading: ES
 
Posts: 5 since May 2018
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Is there a trading journal that tracks MFE after the trade was closed? In other words, best possible exit in ticks/price.

Tradervue only calculates MFE during the trade (the traditional definition). That doesn't tell me how far price ran in my favor after I exited.

It has Best Exit P&L of the total trade, but I'm looking for price MFE per contract pre/post-exit.

When done manually, I create a scatter plot of best exits in price, which allows me to set profit taking targets more accurately without exiting too early or late.

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  #2 (permalink)
SpeculatorSeth
Salt Lake City, Utah
 
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The problem with a post exit MFE is that there's not definitive place to cut it off. Theoretically it could continue moving up forever if you give it enough room with your stop. If you really want to determine how much you are leaving on the table you'd probably need to program a backtestable setup. Then you can just try different exit strategies to see how they impact the strategy.

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  #3 (permalink)
Market Wizard
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TWDsje View Post
The problem with a post exit MFE is that there's not definitive place to cut it off. Theoretically it could continue moving up forever if you give it enough room with your stop. If you really want to determine how much you are leaving on the table you'd probably need to program a backtestable setup. Then you can just try different exit strategies to see how they impact the strategy.

You enter at 100 and exit early at 125 after the exit, price goes up to 150 before getting back to your entry point. MFE was 50. You could cut it off as you say at x times the size of your stop. If you trade only intraday you could also check the MFE at the day close if price has not revisited your original entry price.

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  #4 (permalink)
Melbourne
 
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I couldn't find one when I was looking, but a custom solution should work. Off the top of my head.

1. Get historical tick data per day and import into a database
2. Export your trades to a database, match the close time to the tick data.
3. Add a parameter for x mins or whatever after the trade.

Return the high and low between close and your parameter.

Seems like it could cost a fair bit to automate.
Might be something you could monetise if you got it working.

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