Exit Analysis in Tradervue

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

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

Background

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

Instead, 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

1. Selection of the Last Exit:

The last exit is identified as the last exit-side execution in your trade, plus any additional exit-side executions occurring within a short window (a few seconds) to account for slightly delayed fills.

2. Floating the Exit Executions:

For 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 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.

Need Help?

If you have questions or encounter issues importing data, please reach out to support@tradervue.com or usethe "Contact Us" link below.