Trade Graphs | MAE vs PnL

Modified on 2016/06/30 12:28 by Eugene — Categorized as: Visualizers

This tab puts all the winning and losing trades on the same graph as green and red triangles respectively. A trade's PnL % is plotted on the X axis and its MAE % (or MFE % if selected in appropriate dropdown box) on the Y Axis.

MAE% vs PnL

The purpose of the MAE/PnL view is to set stops properly by figuring out how much unrealised loss must be incurred by a trade before it typically does not recover. Typically you should see more winning than losing trades on the left side of the graph because winning trades usually have lower drawdowns than losing trades. A highlight is what Jaekle and Tommasini* call the "loss diagonal" - a characteristic sloping line with a lot of losing trades. To determine proper distance of a protective stop using the MAE/PnL graph, target an area that includes the greater part of winning trades.

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MFE% vs PnL

By switching to MFE view you could find better profit targets for your system. Unlike the MAE view, the X axis display the maximum runup of the system (MFE %) and it's the losing trades that now are clustered on the left side because they typically have a lower MFE. The "loss diagonal" becomes the "win diagonal". Evaluate the chart to find out the distance at which profit targets won't be placed too closely to deteriorate your system's performance.

Additionally, trades can be filtered by type (all, only long or only short) and by instrument (all or particular one).

References