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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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  #81 (permalink)
 silacitrader 
NY/USA
 
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Tradervue View Post
It's purely an issue of market data. For each additional market we support, we need historical pricing data, both EOD and intraday. For some markets, this is prohibitively expensive. For example, for Australian ASX, the cost to license this data is something like 3x that of all the markets we currently support combined.

That said, we've added other markets in the past (for example, Eurex and BMF futures), and we base this sort of thing on how much demand we get for each market. So definitely let us know specifically which markets you'd like to see, and we'll get your vote counted!

Thanks Greg. Besides the US, I also trade the GCC markets (Dubai, Saudi, etc), so I doubt my vote will count as there must be very little interest in these markets

That said, I understand the need for market data to display the charts/trades, calculate MAE/MFE, etc, but there are also a lot of valuable individual trade statistics that TraderVue provides (win rate, trade expectancy, drawdown, etc) that are completely independent from market data.

Not trying to compare products here, but I've been doing some digging lately trying to find something that would analyze my trades, and while I found a a few tools that support custom instruments, the performance reports were no where near what TraderVue provides.
So my suggestion is that if custom instruments were supported, it would be a great way to leverage the analytic power of TraderVue and make it more versatile.

I understand that this may be a strategic decision on your part, but I just thought I'd share my suggestion.

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  #82 (permalink)
 Tradervue 
Denver, CO
 
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Tradervue View Post
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 %.

We just released this today...it's pretty cool. Starting today, Tradervue will calculate the “best exit” P&L for each of your eligible trades. That best exit is determined by “floating” the last exit executions up to their highest point (or lowest, in the case of a short); this exit point may be before or after your actual exit. By looking at this best exit value in comparison to your actual P&L in the trade, you can quickly see how efficient you were in terms of extracting P&L.

We also take risk into account - we won't show you a huge potential exit P&L, if that would have required an unrealistic drawdown to get there.

I wrote a blog post with a ton of detail and examples - rather than copy all that here, I'll just point you to the post:

Exit Analysis | Tradervue Blog

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  #83 (permalink)
 Big Mike 
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@Tradervue, I am very excited with your new exit analysis including the "efficiency", this is how I tracked my trades for years when I used Excel.



One thing that is not yet clear to me is how this works when you scale out. Your article says it takes the "last trade" but what happens if you scale out over several hours? I assume that only the remaining size left on for the "last trade" is used?

My example above is from my trade here:

Tradervue | ESM5 Trade Detail

 
 


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  #84 (permalink)
 learning0101 
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Hi @Tradervue yes I know that I have asked in the past and you have responded and Thank you for that.
I guess what I was getting at all along is a solution for desktop only--I have no need to place my info onto a server somewhere, thus my request for a desktop version, yes I understand you do not offer such an animal. I respect that and your product is very robust and user friendly. With that said is there any possibility you would recommend a desktop solution for users that desire such? Realizing a conflict of interest but thought I would ask anyway!
Thanks in advance for any input on the subject.

 
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  #85 (permalink)
 Tradervue 
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Big Mike View Post
One thing that is not yet clear to me is how this works when you scale out. Your article says it takes the "last trade" but what happens if you scale out over several hours? I assume that only the remaining size left on for the "last trade" is used?

Hi Mike,

You are correct, in that we only "play" with the _last_ scale-out. Specifically, we look at the last exit execution, and include any other executions within 5 seconds of that one (to allow for multiple fills that may be slightly delayed).

An early (unreleased) version of this analysis looked at all of the exits after the last entry-side execution. So for example, in this trade:



We originally would move all three of the sells up to the highest point at ~ 23.50, and use that as a best exit.

The result seemed to be statistically interesting, but it was almost an _entry_ efficiency, rather than an exit efficiency. It showed what the theoretical max P&L was. But it didn't seem to be actionable, in terms of using the data to improve performance. Perhaps your trading rules say you're going to sell 1/2 into the first pop, or perhaps sell 1/4 to cover risk as soon as possible. In these cases, you followed your plan - so "floating" those exits up to the maximum P&L doesn't give you anything useful.

However, for the _last_ scale-out, this one is either done as part of a plan, or it's discretionary.

Planned: perhaps you were making a momentum trade, and you sold when momentum dried up. You followed your plan, and executed correctly. In this case, Best Exit P&L means nothing, and can be safely ignored.

Discretionary: you sold because you thought you were done with the trade; perhaps you saw some sell signals. In this case, Best exit P&L is a good measure of whether you made a good choice.

This is all a long-winded way of saying yes, we are only looking at the last scale-out.

I certainly welcome any discussion!

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  #86 (permalink)
 Big Mike 
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Thanks Greg. It is a complex problem to solve, I will give it more thought before commenting.

Mike

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  #87 (permalink)
 Tradervue 
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learning0101 View Post
Hi @Tradervue yes I know that I have asked in the past and you have responded and Thank you for that.
I guess what I was getting at all along is a solution for desktop only--I have no need to place my info onto a server somewhere, thus my request for a desktop version, yes I understand you do not offer such an animal. I respect that and your product is very robust and user friendly. With that said is there any possibility you would recommend a desktop solution for users that desire such? Realizing a conflict of interest but thought I would ask anyway!
Thanks in advance for any input on the subject.

I know there are some desktop products available, but I haven't used any of them enough to be able to recommend them.

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  #88 (permalink)
 Big Mike 
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Would it be possible to add the average MAE, average MFE, average Exit Efficiency (skip blanks) to the 'averages' line on the Trade View report?

Yes I know I could export CSV, but I am far too lazy to do that on a recurring basis...

Mike

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  #89 (permalink)
 Tradervue 
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Big Mike View Post
Would it be possible to add the average MAE, average MFE, average Exit Efficiency (skip blanks) to the 'averages' line on the Trade View report?

Yes I know I could export CSV, but I am far too lazy to do that on a recurring basis...

For MFE/MAE, it's not there because these calculations are made in the instrument's native currency, and may not all be the same. For example, ES trades have MFE calculated in USD, whereas FDAX trades have MFE in EUR. So, providing an average/total in the Trades View isn't possible.

That said - for USD-denominated instruments, you can go to the Reports View, Detailed tab, and the average position MFE/MAE are there in the stats table.

For exit efficiency - let me give that some thought. Like you said, some trades do not have this calculated (e.g. losing trades), so I'll have to think through whether having an average there makes sense in the general case. I can see how it would be useful - I just want to make sure we don't show something that someone might find misleading.

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  #90 (permalink)
 Scalpingtrader 
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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..


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