MAE scatter graph
Author: Stigell
Creation Date: 6/3/2016 11:16 PM
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Stigell

#1
Is it possible to have a full scatter MAE graph plotting all trades individual, not only in groups? Is it then possible to graph the Netprofit/MAE ration (y axis) against stop distance to find optimum stops. Both for pure stop and trailing stop.

This is all possible in tradestation...
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Eugene

#2
1. Is there a detailed example showing a MAE/MFE scatter graph on the web?
2. Could you clarify the "stop distance"? Strategies can have multiple stops assigned.

While it's not exactly what you're looking for, individual trades can be plotted by the Trade Graphs visualizer:

Trade Graphs | Trade Life
Trade Graphs | Trade Stability
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Stigell

#3
Where can I find the Trade Graphs visualizer?

1. MAE on the x axis and P/L on the Y axis and ALL trades in graph..



2. Netprofit/Max DD on y axis and stops on x axis
This way you can chose best stop for risk/reward. One stop at the time test..

http://www.amazon.com/Trading-Systems-Urban-Jaekle/dp/8170948088

Look inside Page 71 graph
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Eugene

#4
You can find the Trade Graphs visualizer as a part of the MS123 Visualizers library.

#1. Got it. Could the combination of aleady available tools like Trade Life (foremost), Trade Stability (to some extent) and the Average Trade Efficiency metrics from Performance+ serve as a replacement for your MAE vs P/L scatter plot? Please tell me your opinion before I investigate further.

#2. Thanks, I see the graph you're referring to. There isn't a one-stop shop for all your stops in a WealthScript Strategy. Consequently, if I were to build such graph it would only apply to systems having a RiskStopLevel defined explicitly. (There isn't much of RiskStopLevel-enabled systems but of course you can add it to their code.) In other words, the graph would be blank for any system if it doesn't have a RiskStopLevel set in its code (just like the Risk/Reward tab).

Also, there will be no "NetProfit/MaxDD without stop loss" level (as per Page 71) because this information is not available until the system is executed without the RiskStopLevel applied. Would such graph be OK with you?
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Stigell

#5
1. Can easily be done in excel (and tradestation) but by using the Trade graph tools you get similar but not exactly the same thing. You cannot really choose stop system through MAE analysis!

2. This I can do by optimization of stop in steps and then use excel for graph. Please note that it is not only for risk stop but any kind of exit above both information is to be used!

The first graph would be a great addition whereas the second might be to complicated to implement.
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Eugene

#6
1 - MAE% vs PnL% seems feasible to implement.

2 - Like I told, to a performance visualizer there is no "any kind of exit" for a given bar or trade except for what you've assigned to the RiskStopLevel and/or AutoProfitLevel properties. Okay, this graph goes off the radar since its utility would be limited.
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Eugene

#7
Check out the MAE%/MFE% vs PnL% scatter plot on the Trade Graphs tab in the latest update 2016.07 of the library (restart WL after updating the extension).
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Stigell

#8
That's perfect! Well done! Thank you!