Trading Systems and Money Management : A Guide to Trading and Profiting in Any Market

one stock takes about 40 minutes. Running one system through all 65 stocks takes about 45 hours. And I had to do 10 tests like t ...

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CHAPTER 20 Adding Exits In Part 2, it became obvious that most systems didn’t work all that well when trad- ed from the short si ...

with a stop loss, profit target, and time-based stop, while the other version will work with a trailing stop, profit target, and ...

SCT.ArrayPosition(0), SCT.WinTrades(0), SCT.SumSqProfit(0), SCT.TestString(""), SCT.FileString(""); {3} Arrays: SCT.TradeProfit[ ...

For SCT.ArrayPosition = 0 To (NoTradesVar - 1) Begin SCT.SumProfit = SCT.SumProfit + SCT.TradeProfit[SCT.ArrayPosition]; If SCT. ...

SCT.ShortLoss = 1 + StopLossVar * 0.01; SCT.LongTrailing = 1 - TrailStopVar * 0.01; SCT.ShortTrailing = 1 + TrailStopVar * 0.01; ...

End Else If TrailStopVar > 0 Then Begin SCT.TRLoss = AvgTrueRange(MaxBarsVar) * StopLossVar; SCT.TRTrailing = AvgTrueRange(Ma ...

The input TestRunVar will not be used here, but is present so that you can run through your own systems using the random-entry ...

SCT.FileString. The file export takes place in the command FileAppend. The name of the file is specified by the variable SCT.Fil ...

227 FIGURE 20.1 Standard deviation of returns (1). FIGURE 20.2 Standard deviation of returns (2). ...

228 FIGURE 20.3 Standard deviation of returns (3). FIGURE 20.4 Average profit per trade versus profit target and stop loss. ...

(ATR) will produce the highest average profit per trade (as indicated by the legend to the right of the chart), together with an ...

Now we’ve decided that the stop loss should be placed 1 ATR away from the entry price and that the maximum trade length should b ...

231 FIGURE 20.7 Number of profitable trades, variable 1. FIGURE 20.8 Number of profitable trades, variable 2. ...

Plugging these stops with the values suggested by the surface charts into the system as we left it in Chapter 8, and then testin ...

trade per market means that we could stay fully invested all the time by jumping from trade to trade among three markets. In tha ...

this system. First, let’s take a look at Figures 20.10 to 20.12, which show the aver- age profit per trade in relation to the th ...

235 FIGURE 20.11 Average profit per trade for input variable 2. FIGURE 20.12 Average profit per trade for input variable 3. ...

But even so, Figure 20.10 shows this is not as good a solution as, for exam- ple, a 2.4 ATR trailing stop combined with a 1 ATR ...