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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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  #11 (permalink)
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Greg,

Do you provide any functionality for portfolio testing? Like if I want to group different classifications of trades (ie: methodologies, systems, time frames) together and then compress them into uniform report that shows me the total performance metrics of the combined class, but while also letting me still see individuals within the class (to spot poor performers, and also to use for analyzing correlation)?

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Big Mike View Post
Greg,

Do you provide any functionality for portfolio testing? Like if I want to group different classifications of trades (ie: methodologies, systems, time frames) together and then compress them into uniform report that shows me the total performance metrics of the combined class, but while also letting me still see individuals within the class (to spot poor performers, and also to use for analyzing correlation)?

Mike

I don't know if this would accomplish what you are looking for, but you can use tagging to classify trades by whatever you can dream up.

Edit: Here's a link for how to go about using multiple tags: Multiple tag filters now supported

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  #13 (permalink)
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omni72 View Post
I don't know if this would accomplish what you are looking for, but you can use tagging to classify trades by whatever you can dream up.

Edit: Here's a link for how to go about using multiple tags: Multiple tag filters now supported

My understanding of tags though is that you will see ONLY data for the tag you select. In my case what I need is to see data for a group of trades (tagged, whatever) but also see the total available data for the period.

The goal is to take say 5 different systems, and be able to view them as a whole while also being able to do correlative analysis using all the different metrics Tradervue supports. So it means I would need to see all the data, not just the tagged data, simultaneously.

Again, not an Excel wizard or I would have done this myself a long time ago. But basically in my head I envision (for each metric) multiple plots -- one plot for each methodology or "tag", and then a cumulative plot or totals.

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Big Mike View Post
My understanding of tags though is that you will see ONLY data for the tag you select. In my case what I need is to see data for a group of trades (tagged, whatever) but also see the total available data for the period.

The goal is to take say 5 different systems, and be able to view them as a whole while also being able to do correlative analysis using all the different metrics Tradervue supports. So it means I would need to see all the data, not just the tagged data, simultaneously.

Again, not an Excel wizard or I would have done this myself a long time ago. But basically in my head I envision (for each metric) multiple plots -- one plot for each methodology or "tag", and then a cumulative plot or totals.

If I'm understanding you correctly, you could indeed do this with tags. For example, suppose you had three systems:

System1
System2
System3

You could tag each of your trades with whichever system they belong to (or multiple systems if that's the case). Then, with the global trade filter, filter by

System1 OR System2 OR System3

That will show you only trades that belong to at least one of the systems mentioned. This will give you the total available data for the systems for that period. If you want to see ALL trades from the period, just skip that step - you can choose whether "all" means all trades, or all trades that are in one of the three systems.

To get a breakdown by system, you can use the tag breakdown report. This will show you something like this:



That's just total P&L and frequency, but it gives you the gist. If you want to _really_ dive in and compare your systems, you could use the "Compare" reports tab, and use

Group 1: System1 tag
Group 2: System3 tag

And then you could deep dive on a comparison between any two systems. You would then see something like this:



where you could flip through any of the report sub-groups and see your systems plotted against each other.

Does that answer your question?

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Tradervue View Post
Does that answer your question?

Yes but unfortunately not the answer I was looking for. I don't have any good portfolio analysis to show you as an example, which is why I've been searching for this for a while.

Your "compare" feature is not what I am after, I need overlayed results for more than two separate "tags" and specifically am looking for correlative analysis in all the various metrics computed. You have to think about it on a portfolio level.

As a simple example, the NQ and AAPL are correlated (first chart), but the SPY vs QQQ are almost 1.0 factor:





I am looking for analysis and correlation across net profit, trade frequency, timing, and all the usual metrics and distributions. The goal is to build a robust portfolio of methodologies that compliment each other from a risk/return standpoint, instead of trading highly correlated systems that simply increase risk.

Obviously instrument/product is a starting point here, but I've found trades are still highly correlated even in markets you would think are uncorrelated.

For example, here is GLD vs SPY:



Crude vs Gold:



Barclay IEI Bonds vs Gold:



What I am looking for is analysis that lets me analyze all my systems and their trading metrics. Not just a simple correlation chart based on price data of the instrument as I've posted above.

For some real great reading, check out @imPairsonator's Global Tactical Asset Allocation thread:


Mike

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Big Mike View Post
I need overlayed results for more than two separate "tags" and specifically am looking for correlative analysis in all the various metrics computed. You have to think about it on a portfolio level.

...

What I am looking for is analysis that lets me analyze all my systems and their trading metrics. Not just a simple correlation chart based on price data of the instrument as I've posted above.

This is an interesting idea, Mike. What if it was just cumulative P&L for each system, plotted together on one chart, as well as being able to view correlation between any two? Would that cover what you're looking for, or if not, which other metrics do you think would be most useful?

This dovetails into something I've been thinking about, so there's a reasonable chance parts of this might appear in the product...

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Tradervue View Post
This is an interesting idea, Mike. What if it was just cumulative P&L for each system, plotted together on one chart, as well as being able to view correlation between any two? Would that cover what you're looking for, or if not, which other metrics do you think would be most useful?

This dovetails into something I've been thinking about, so there's a reasonable chance parts of this might appear in the product...

Take your example screenshot:



I would want to see a view created where I can see these metrics on a per-system basis while also being able to view the total or average performance for all systems in the portfolio.

And when you view each individual metric, say MAE, MFE, avg time in winners, trades taken at 8AM -- whatever -- then I am looking to see both individual performance per-system as well as avg performance in portfolio, so I am looking for correlation here (or lack of).

Also picture a plot of trade executions by date time. When multiple trades are on simultaneously, I am looking at risk across these systems as a whole. Due to correlation, more positions will not necessarily result in more (likely) risk even if it does use more risk capital. The trick is naturally finding the right combination and thus the right kind of diversification, even with more positions.

I am not an expert in this subject. I have wanted to move this direction for years, but am very limited due to my poor math skills. I'm a visual person and a trial-by-error person. So I've been looking for a portfolio level tool that understands the importance of portfolio diversification and analysis, and then I wanted it to do the heavy lifting while I plug in my various systems.

Mike

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Hopefully this is ok to post here...if not, Mike, feel free to flog me publicly.

Many futures.io (formerly BMT) folks have talked to me about using R to analyze their performance vs. risk, and asking whether this was possible in Tradervue. Up to now, the answer to this question has been "sort of..." - you could kind of fake it if you traded in fixed risk "buckets", but it certainly wasn't ideal.

It's much better now! A few days ago we added the ability to enter in your initial risk R value for a trade, and then any of the reports can be run showing average or aggregate performance in terms of R, instead of absolute $ return. And this works even if your R is different for different trades (maybe you risk more on trades where you're more confident, etc.).

There's a little more info and some screenshots on our blog at Risk tracking and reporting | Tradervue Blog.

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I have seen that you have charts plotting the entries and also average mae and mfe for overall trade record , my questions is it possible to calculate mae and mfe for individual trade automatically or any other way for individual trades ? Thanks

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jinhar View Post
I have seen that you have charts plotting the entries and also average mae and mfe for overall trade record , my questions is it possible to calculate mae and mfe for individual trade automatically or any other way for individual trades ? Thanks

Yep - we show MFE and MAE for every trade. When you open a trade, look just below the list of executions, right above the tabs for the different charts - there is a link that says "show trade stats". If you click that, you'll see the MFE/MAE data. There are a couple of screenshots of it on the blog here:

MFE and MAE calculations | Tradervue Blog

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