The short side is still not as good as it was in the original model, using a trend
filter based on hindsight. But, as Table 13.6 indicates, a profit factor of 0.97 and
a risk factor of 0.06 (meaning we’re losing six cents for every dollar risked) still
isn’t too bad, considering the long up trend this side of the system had to battle.
These versions of the system will go with us to the next section, where we will try
to improve on the results further by adding a few stops and exits. Hopefully this
will make the short side profitable as well. Figure 13.1 shows one good short trade
in Merck, followed by a series of whipsaw trades, some winners, and some losers.TradeStation Code
Variables:
{These variables can also be used as inputs for optimization purposes.}
AllowLong(True), AllowShort(True), AverageUpLength(21),
AverageDownLength(10), TriggerLength(2),
{Leave these variables alone.}
AverageUpVolume(0), HighAvgUpVolume(0), LowAvgUpVolume(0),
RelAvgUpVolume(0), InvRelAvgUpVolume(0), AvgVolumeUpWeight(0),
VolWeightedUpAvg(0), AverageDownVolume(0), HighAvgDownVolume(0),
LowAvgDownVolume(0), RelAvgDownVolume(0), InvRelAvgDownVolume(0),
AvgVolumeDownWeight(0), VolWeightedDownAvg(0);
{Code for normalizing the number of contracts traded goes here.}
If AllowLong = True Then BeginCHAPTER 13 Volume-weighted Average 159
Short only: No trend filter, no stop loss,
10-day lookback PercProf: 33.33
Trades PercWin NetProfit AvgProfit ProfitStD RiskRatio
Average: 99.98 32.95 (22,515.10) (126.88) Market
St. Dev: 31.31 7.14 48,348.58 871.36 4,023.59 (0.06)
High: 131.29 40.08 25,833.48 744.48 3,896.71 Portfolio
Low: 68.68 25.81 (70,863.68) (998.24) (4,150.47) (0.15)
ProfitFactor RiskFactor MaxDD PercDD PercTime AvgLength
Average: 0.97 (0.06) 53,793.11 48.74 9.37 3.92
St. Dev: 0.74 0.30 31,310.98 30.96 2.16 0.53
High: 1.71 0.24 85,104.09 79.71 11.53 4.45
Low: 0.23 (0.36) 22,482.12 17.78 7.20 3.39TABLE 13.6
Altering Lookback Period for Short-side Trading