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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)

  #61 (permalink)
 Vendor: www.tradervue.com 
Denver, CO
 
Futures Experience: Advanced
Platform: Lightspeed, Tradervue
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Big Mike View Post
Greg, I was wondering if you could come up with a way to show performance on a slider that would show "what-if" scenarios if a trade had been entered earlier or later, or if the exit had been earlier or later.

Say for example, if the last 100 trades had been exited 5 minutes, 30 minutes, or 1 hour later than they were. What would happen to performance?

I felt like @Tradervue was in a good position to attempt this, because you have the real-time market data to go along with the executions.

My goal in such an exercise would be to compare my actual performance against a hypothetical performance, to see if I am timing the market well.

We've talked with a few folks about things like this...two things come to mind.

First, for entries, it's extremely difficult to do this in a way that's actually useful without additional information. Presumably you have rules for when you enter and exit trades; e.g. you might exit when a particular stop is hit. Without knowing these rules, it's difficult to predict whether "entering 15 minutes earlier" is actually relevant to anything or not. If your (price-based) entry criteria was not met, then calculating a hypothetical P&L from that point isn't really actionable information.

However, for exits, we are actually working on some interesting things here. What we're looking at is, for your exit, how much did you leave on the table vs. the ideal exit? You can think of this in terms of either absolute P&L, or as an exit efficiency in %.

This too may or may not be relevant in aggregate; if you exited a momentum trade because the momentum stopped, and then it held around a price for an hour and then popped up 5 more points, well, you didn't make a mistake there - you were playing momentum, and correctly exited when the momentum stopped. For this trade, what happened afterwards is irrelevant.

However, for trades with a more discretionary exit (e.g. I think this is nearing resistance so I'm going to sell), we may be able to show you that you're not very good at identifying actual resistance levels, because you're consistently exiting too early on these trades and leaving money on the table.

Interestingly, the definition of exactly how it should be calculated is trickier than doing the calculation itself. For example, for trades where you're scaling in and out, we need to make intelligent decisions about what we try to guess. The fact that you sold half of your position before price ran up 5 points doesn't necessarily mean that first sale was a mistake, or that you left anything on the table, per se - maybe you were just managing risk. Similarly, if you sold, then it drops 5 points below your entry price, then jumps up 20 points, it's probably not useful to imagine how nice that 20 point gain would have been. I think we have it pretty nailed down now, at least for the first version...hopefully we can get something online in the coming weeks.

If anyone has additional ideas or feedback about what they'd like to see along these lines, I'd love to hear it!

If you have any questions about Tradervue, please send me a Private Message or use the BMT "Ask Me Anything" thread.
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  #62 (permalink)
Site Administrator
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Tradervue View Post
We've talked with a few folks about things like this...two things come to mind.

First, for entries, it's extremely difficult to do this in a way that's actually useful without additional information. Presumably you have rules for when you enter and exit trades; e.g. you might exit when a particular stop is hit. Without knowing these rules, it's difficult to predict whether "entering 15 minutes earlier" is actually relevant to anything or not. If your (price-based) entry criteria was not met, then calculating a hypothetical P&L from that point isn't really actionable information.

However, for exits, we are actually working on some interesting things here. What we're looking at is, for your exit, how much did you leave on the table vs. the ideal exit? You can think of this in terms of either absolute P&L, or as an exit efficiency in %.

This too may or may not be relevant in aggregate; if you exited a momentum trade because the momentum stopped, and then it held around a price for an hour and then popped up 5 more points, well, you didn't make a mistake there - you were playing momentum, and correctly exited when the momentum stopped. For this trade, what happened afterwards is irrelevant.

However, for trades with a more discretionary exit (e.g. I think this is nearing resistance so I'm going to sell), we may be able to show you that you're not very good at identifying actual resistance levels, because you're consistently exiting too early on these trades and leaving money on the table.

Interestingly, the definition of exactly how it should be calculated is trickier than doing the calculation itself. For example, for trades where you're scaling in and out, we need to make intelligent decisions about what we try to guess. The fact that you sold half of your position before price ran up 5 points doesn't necessarily mean that first sale was a mistake, or that you left anything on the table, per se - maybe you were just managing risk. Similarly, if you sold, then it drops 5 points below your entry price, then jumps up 20 points, it's probably not useful to imagine how nice that 20 point gain would have been. I think we have it pretty nailed down now, at least for the first version...hopefully we can get something online in the coming weeks.

If anyone has additional ideas or feedback about what they'd like to see along these lines, I'd love to hear it!

All good points.

In a dream scenario (I was thinking about this in my sleep last night), I would like a full sized chart on a daily basis that shows actual entry/exit positions, and then be able to slide a slider left/right on the x-axis that would show what would happen if exits were pushed/pulled by 'x' (minutes). This would let me visually see the impact on a granular basis.

I think the reporting mechanism has to be able to break it down in detail to be useful.

As for the exits you described, I tracked this for years in my personal Excel worksheet and I called it the "theoretical maximum" and later just called it "Efficiency". In other words, if I am 90% efficient on that trade, it means I captured 90% of what the maximum possible outcome was. But this isn't MFE. This included post-trade consideration. Which meant it was discretionary based on my rules.

I know it's a challenge, but I think any effort in this direction would be appreciated.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
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  #63 (permalink)
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Would love to see a comparison against a benchmark like SP500. Comparison of buy/hold PnL vs my actual PnL, as well as some correlations on +/- days, comparison for drawdown, etc etc

Sent from my phone

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
 
  #64 (permalink)
 Vendor: www.tradervue.com 
Denver, CO
 
Futures Experience: Advanced
Platform: Lightspeed, Tradervue
Favorite Futures: Stocks
 
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Posts: 58 since May 2012
Thanks: 12 given, 88 received


Big Mike View Post
Would love to see a comparison against a benchmark like SP500. Comparison of buy/hold PnL vs my actual PnL, as well as some correlations on +/- days, comparison for drawdown, etc etc

In order to provide meaningful correlations against a benchmark (other than the +/- days), we need to know your overall portfolio performance. And in order to calculate that performance, we need to know your account balance, which we don't track at the moment for various reasons.

We do provide some reports (primarily useful for intraday trades) that break down your performance based on behavior of a market proxy (we have 7 of these in place). This will show you things like, for example, whether your performance is positive on days where the market closes up >2%. This would cover the +/- days that you mentioned. Here's a blog post about this:

Market behavior report updates | Tradervue Blog

If you have any questions about Tradervue, please send me a Private Message or use the BMT "Ask Me Anything" thread.
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The following 2 users say Thank You to Tradervue for this post:
 
  #65 (permalink)
Site Administrator
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Favorite Futures: E-mini ES S&P 500
 
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Posts: 46,238 since Jun 2009
Thanks: 29,350 given, 83,214 received


Tradervue View Post
In order to provide meaningful correlations against a benchmark (other than the +/- days), we need to know your overall portfolio performance. And in order to calculate that performance, we need to know your account balance, which we don't track at the moment for various reasons.

We do provide some reports (primarily useful for intraday trades) that break down your performance based on behavior of a market proxy (we have 7 of these in place). This will show you things like, for example, whether your performance is positive on days where the market closes up >2%. This would cover the +/- days that you mentioned. Here's a blog post about this:

Market behavior report updates | Tradervue Blog

Thanks. I ran the report using IB's portfolio tool, it wasn't that helpful anyway.

I would rather see you spend time developing the VWAP based entry/exit efficiency we previously discussed. BTW, another sleepless night had me thinking that it should be broken down in terms of % distance from VWAP (price entry/exit). This way you can group your trades in ranges, and see for instance where your best trades are positioned from (+1SD, +2SD, mid-line, etc).

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
The following user says Thank You to Big Mike for this post:
 
  #66 (permalink)
 Vendor: www.tradervue.com 
Denver, CO
 
Futures Experience: Advanced
Platform: Lightspeed, Tradervue
Favorite Futures: Stocks
 
Tradervue's Avatar
 
Posts: 58 since May 2012
Thanks: 12 given, 88 received


Big Mike View Post
I would rather see you spend time developing the VWAP based entry/exit efficiency we previously discussed. BTW, another sleepless night had me thinking that it should be broken down in terms of % distance from VWAP (price entry/exit). This way you can group your trades in ranges, and see for instance where your best trades are positioned from (+1SD, +2SD, mid-line, etc).

Interesting idea to bring VWAP into the efficiency calculations - thanks, I'll give this some more thought.

Tangentially related, we do have a couple of ATR-related reports. The first (perf/dist by ATR) wouldn't be useful for you since you're primarily trading one instrument, but the second (showing performance based on your entry as a % of ATR) might be useful; both are available at Reports View / Detailed tab / Instrument group.

If you have any questions about Tradervue, please send me a Private Message or use the BMT "Ask Me Anything" thread.
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  #67 (permalink)
Site Administrator
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Favorite Futures: E-mini ES S&P 500
 
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Posts: 46,238 since Jun 2009
Thanks: 29,350 given, 83,214 received

Please consider adding a linear regression forecast plot to the Cumulative PnL chart.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
 
  #68 (permalink)
 Vendor: www.tradervue.com 
Denver, CO
 
Futures Experience: Advanced
Platform: Lightspeed, Tradervue
Favorite Futures: Stocks
 
Tradervue's Avatar
 
Posts: 58 since May 2012
Thanks: 12 given, 88 received


Big Mike View Post
Please consider adding a linear regression forecast plot to the Cumulative PnL chart.

That's a good idea - I'll put it on the list.

In the meantime, you could do this with Excel fairly easily. In Tradervue, go to Reports View, Overview tab, Calendar group, and click "Download" near the bottom of the page. That will download the daily P&L to Excel. You could then add a column for cumulative P&L, and plot that with any curve-fitting you wanted.

Thanks!

If you have any questions about Tradervue, please send me a Private Message or use the BMT "Ask Me Anything" thread.
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The following user says Thank You to Tradervue for this post:
 
  #69 (permalink)
 Vendor: www.tradervue.com 
Denver, CO
 
Futures Experience: Advanced
Platform: Lightspeed, Tradervue
Favorite Futures: Stocks
 
Tradervue's Avatar
 
Posts: 58 since May 2012
Thanks: 12 given, 88 received


Big Mike View Post
Please consider adding a linear regression forecast plot to the Cumulative PnL chart.

Related to this, it occurs to me that we already calculate this line when calculating the K-ratio, which is a measure of consistency:

K-ratio calculation added | Tradervue Blog

We don't show you the actual line anywhere, but I thought this was at least worth mentioning!

If you have any questions about Tradervue, please send me a Private Message or use the BMT "Ask Me Anything" thread.
Reply With Quote
 
  #70 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
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Posts: 46,238 since Jun 2009
Thanks: 29,350 given, 83,214 received



Tradervue View Post
Related to this, it occurs to me that we already calculate this line when calculating the K-ratio, which is a measure of consistency:

K-ratio calculation added | Tradervue Blog

We don't show you the actual line anywhere, but I thought this was at least worth mentioning!

Thanks, I didn't see that as I am not Gold (although probably should be). I didn't do Gold because the risk analysis won't work for me, and including commissions is not that important to me.

I didn't realize there were other benefits.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote

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