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

the really good stuff is that this improvement also increased the robustness and reliability of the system. The risk–reward rela ...

looking at the standard deviation numbers for the profit and risk factors, and the risk–reward ratio based on the average profit ...

CHAPTER 10 Meander System V.1.0 119 Both sides: Higher target, no slack period, one day against, 10-day lookback period PercProf ...

about 200 percent. But because the time spent in a trade remained approximately the same, while the number of trades decreased b ...

SumSquareError = SumSquareError + Square(PriceDiff[MeanderArrayPos] - AverageDiff); SumError = SumError + (PriceDiff[MeanderArra ...

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Chapter Relative Strength Bands Originally presented in March 2001, this system had an error in the original text in Active Trad ...

atively stronger than approximately 84 percent (100
16) of all other markets. (A one-SD interval should hold approximately 68 p ...

System Pros and Cons This test revealed some interesting system characteristics—and there is no way we could have found out abou ...

make a new attempt to come up with a better, more robust system, given the ini- tial logic. One major reason for why the results ...

sion is that something needs to be done. There are several things we could do, such as altering the lookback period for the stan ...

itable markets now increased to 64 percent. The number of profitable trades is, however, still relatively low at 36.75 percent. ...

number of profitable markets continued higher to 76 percent, the average profit per trade increased to $3,577, the profit factor ...

The two variables we’ve left are RelStrengthLookback and LongStDevs, set to 100 days and zero standard deviations, respectively ...

also is confirmed by a test of a 200-day lookback. Therefore, it seems best to stay with a shorter lookback period for the short ...

the system is trading less (approximately 17 trades per market tested), the higher average profit at $449 produces a higher expe ...

but because the results from the two latest versions of the system are somewhat contradictory, we will do the rest of the testin ...

RelStrength.12(0), LongAvgRelStre.12(0), ShortAvgRelStre.12(0), LongPercRelStre.12(0), ShortPercRelStre.12(0), RelStrength.13(0) ...

RelStrength.15 = Close / Close Data5; If AllowLong = True Then Begin LongAvgRelStre.12 = Average(RelStrength.12, LongRelStrength ...

{Code for initial market export goes here, with Normalize(True). Set ExportSwitch(True).} {Code for testing robustness goes here ...