Exit Analysis

Tradervue analyzes your trade exits, and calculates the potential P&L (subject to certain rules) and exit efficiency.

For more details on Tradervue's exit analysis with some examples, see the Tradervue blog.

Exit analysis is available for users on the Gold subscription plan, for stock, futures, and forex trades.

Background

Tradervue does not calculate a simple "maximum theoretical P&L", whereby the assumption is made that you fully exit the trade at the point of maximum P&L. While this number may be interesting statistically, it is rarely actionable in terms of improving trading performance for non-trivial trades with more than a single exit.

Rather, Tradervue considers your last exit, and analyzes the potential impact on P&L of moving this exit around in time, without exceeding specific risk parameters.

Methodology

First, the last exit is selected. This last exit is the last exit-side execution in your trade, plus any additional exit-side executions that occur within a short window (a few seconds) to allow for slightly delayed fills.

Then, for the purposes of this calculation, these exit executions are allowed to "float" to the point of maximum P&L, subject to the following restrictions:

Time window

The exit executions can be moved as early as the execution immediately prior to the group of exit executions. This prior execution can be on either side - entry or exit.

The exit executions can be moved as late as the end of the trading day. For stock trades, this means the end of the regular market session for the day. For futures trades made in the evening, the trading day runs until the close on the following calendar day.

Risk window

Since a higher potential P&L is meaningless if a larger than acceptable drawdown is required to attain it, risk is taken into account when making calculations. Specifically, the amount of risk allowed in the theoretical trade will be the larger of:

  • The maximum drawdown experienced in the real trade (Position MAE)
  • The initial risk specified in the trade, if Tradervue's risk management features are being used

Essentially, we allow the maximum risk to run up to either the amount of risk you actually experienced in the trade, or the amount of risk you specified you were willing to accept, whichever is greater.

Calculations and Reporting

The result of these calculations is two values shown on each eligible trade in the stats section:

  • Best Exit P&L - this is the maximum P&L achieved by moving the last exit execution(s) according to the rules described above.
  • Efficiency - for trades with a positive P&L, efficiency is calculated as the actual P&L divided by the Last Exit P&L.

Both of these values are available in the trade stats for each trade, can also be added as columns in the Trades View, and are available to be plotted in the Advanced Reports.

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