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Tradervue's Greg Reinacker (CEO) - Ask Me Anything (AMA)


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Tradervue's Greg Reinacker (CEO) - Ask Me Anything (AMA)

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  #91 (permalink)
Denver, CO
 
Experience: Advanced
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Posts: 58 since May 2012
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Scalpingtrader View Post
Would it be possible to change PnL and all other $ measures to % relative to account size?
Just came up in another thread & might really help people evolve in size as they can detach from the invcrease in absolutes more easily..

For equities, you can view P&L in % in the Trades View. However, that's showing a % return based on capital requirement for the trade - not account size.

In general, we don't know your account balance, so we can't calculate portfolio % returns. We've talked about adding this, and it's on the list to consider...the primary issue is most of the brokers/platforms we support don't include this information, so it would require manual entry and updating, which would be error-prone. And the account balance number we show would often be incorrect (until you updated it), which wouldn't be a great user experience.

Also on the idea of calculating an individual trade P&L relative to account size, it's not clear how useful this would be, in terms of actionable data to improve performance. If I make 5 ticks on 10 contracts, is that a better trade if I had $100K in my account, vs. if I had $110K in my account? I would argue that calculating returns in terms of risk (R) results in data that's more easily compared between trades.

That said - I can see how calculating overall portfolio performance in % terms is useful. But it seems more useful for portfolio performance, rather than _trade_ performance.

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  #92 (permalink)
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Tradervue View Post
For equities, you can view P&L in % in the Trades View. However, that's showing a % return based on capital requirement for the trade - not account size.

In general, we don't know your account balance, so we can't calculate portfolio % returns. We've talked about adding this, and it's on the list to consider...the primary issue is most of the brokers/platforms we support don't include this information, so it would require manual entry and updating, which would be error-prone. And the account balance number we show would often be incorrect (until you updated it), which wouldn't be a great user experience.

Also on the idea of calculating an individual trade P&L relative to account size, it's not clear how useful this would be, in terms of actionable data to improve performance. If I make 5 ticks on 10 contracts, is that a better trade if I had $100K in my account, vs. if I had $110K in my account? I would argue that calculating returns in terms of risk (R) results in data that's more easily compared between trades.

That said - I can see how calculating overall portfolio performance in % terms is useful. But it seems more useful for portfolio performance, rather than _trade_ performance.

thanks for taking your time to reply. I already thought about the issue of where to get the account balance from.
My conclusion is that it should be relatively simple if the user enters an initial balance once and has the option to adjust for payments out of or into the account. All other changes would naturally be a result of trade result + commission.
Of course I have no idea how hard something like this would be to implement..

anyhow, thanks for considering!

Edit: as for the quality of a trade - the % in itself is not saying too much, but when looking at it along with things like the R relative, it can indeed help improving performance as you would see more clearly if you are trading too big or too small relative to your risk capital (ie. 50 ticks might be a good result for a 25.000$ account but not so much on a 250.000 account, unless you intent to risk only o.1% per trade.)

 
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  #93 (permalink)
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@Tradervue, how can the 'best exit' be less than the position MFE on some trades?

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  #94 (permalink)
Denver, CO
 
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Big Mike View Post
@Tradervue, how can the 'best exit' be less than the position MFE on some trades?

It shouldn't be; email us over links to the trade(s) and I'll take a look.

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  #95 (permalink)
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Big Mike View Post
@Tradervue, how can the 'best exit' be less than the position MFE on some trades?


Tradervue View Post
It shouldn't be; email us over links to the trade(s) and I'll take a look.

Oops - I believe I mis-spoke in the above reply. It is indeed possible to have a best-exit calculation be less than the position MFE.

In our exit calculations, were only moving the _last_ exit execution (and those within a 5-second window of that last one). The MFE may occur at an earlier point in the trade, and your trade may have backed off from the MFE before getting to those last exits. So, in some circumstances, its not possible to get all the way back up to the MFE just by moving the last-exit executions.

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  #96 (permalink)
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Tradervue View Post
Oops - I believe I mis-spoke in the above reply. It is indeed possible to have a best-exit calculation be less than the position MFE.

In our exit calculations, were only moving the _last_ exit execution (and those within a 5-second window of that last one). The MFE may occur at an earlier point in the trade, and your trade may have backed off from the MFE before getting to those last exits. So, in some circumstances, its not possible to get all the way back up to the MFE just by moving the last-exit executions.

In order for me to crunch data, can you provide the actual last scale out broken out as a column so it can be completed to the theoretical best scale out (aka best exit)

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  #97 (permalink)
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Big Mike View Post
In order for me to crunch data, can you provide the actual last scale out broken out as a column so it can be completed to the theoretical best scale out (aka best exit)

Let me ask you - how exactly would you use this?

Right now, we calculate the best exit P&L, and compare that with the actual P&L. Let's look at two extremes:

Example 1. You have a trade with:

Actual P&L: $5000
Best Exit P&L: $5100

In this case, you extracted nearly all of the available P&L from the trade. Whether your last scale-out P&L was $100 or $3000 doesn't seem useful - in either case, there was only another $100 available for the taking.

Example 2. Your trade is:

Actual P&L: $5000
Best Exit P&L: $15000

In this case, we know that whatever your last scale-out P&L was, there was another $10000 available for the taking. And again - whether your last scale-out P&L was $100 or $3000 still doesn't seem terribly useful to know.

Now in general, I can see the draw in knowing something like "my last scale-outs are capturing 34% of their potential" - but while potentially interesting, I'm not sure I understand the value.

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  #98 (permalink)
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Tradervue View Post
Let me ask you - how exactly would you use this?

Right now, we calculate the best exit P&L, and compare that with the actual P&L. Let's look at two extremes:

Example 1. You have a trade with:

Actual P&L: $5000
Best Exit P&L: $5100

In this case, you extracted nearly all of the available P&L from the trade. Whether your last scale-out P&L was $100 or $3000 doesn't seem useful - in either case, there was only another $100 available for the taking.

Example 2. Your trade is:

Actual P&L: $5000
Best Exit P&L: $15000

In this case, we know that whatever your last scale-out P&L was, there was another $10000 available for the taking. And again - whether your last scale-out P&L was $100 or $3000 still doesn't seem terribly useful to know.

Now in general, I can see the draw in knowing something like "my last scale-outs are capturing 34% of their potential" - but while potentially interesting, I'm not sure I understand the value.

Maybe I am missing something, but right now in the CSV there is no way to determine what % of the 'actual pnl' the last scale was. But the 'best exit' is based solely on the last scale. So there is no way to really compare the two columns together.

In my situation, the last scale could be 20 contracts, it could be 1 contract, or anything in between. I'm just trying to find a more direct way to understand/utilize the 'best exit' column.

Maybe a short cut could be to show the last scale size. We already know the total trade size.

Mike

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  #99 (permalink)
Denver, CO
 
Experience: Advanced
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Big Mike View Post
Maybe I am missing something, but right now in the CSV there is no way to determine what % of the 'actual pnl' the last scale was. But the 'best exit' is based solely on the last scale. So there is no way to really compare the two columns together.

In my situation, the last scale could be 20 contracts, it could be 1 contract, or anything in between. I'm just trying to find a more direct way to understand/utilize the 'best exit' column.

Maybe a short cut could be to show the last scale size. We already know the total trade size.

You're understanding correctly...we don't show you the size or P&L from the last scale.

I'll give this some more thought. But again, I don't think this calculation is meant to micro-analyze how good your last exit was; I mean, that's what it shows, but I don't think it's super useful to think of it that way. Rather, it's a measure of how well you exited the trade as a whole, given that your last exit was discretionary. That's why I think it's more useful to think of how good your last exit was in relation to the overall trade P&L.

That said, I do understand what you're saying, and I'll noodle on it a bit.

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  #100 (permalink)
Site Administrator
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Posts: 48,922 since Jun 2009
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Expanding on our "What-if" discussion earlier, I'd like to add to my list the ability to play "what if" with the best exit column, in a way where I could specify a price movement percentage, and then say "what if I didn't exit, but instead I held until either 'A' or 'B'" where 'A' or 'B' is equal to a price movement of 'x' percent, whichever comes first.

For example, if the real last exit was 2050, then I could plug in a percentage of 0.5% and say "what if I held the last exit until price either moved 0.5% up, or 0.5% down" (where 0.5% would represent 10.25 points of 2050).

Just one of limitless ways to try and analyze the 'what if' scenarios. In this case, by using a fixed percentage away from your last exit, I think it is useful to determine if your exit was timed well or not.

Mike

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