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

low values for the lower one-standard-deviation boundaries for both the profit fac-

tor and the risk factor. But both the profit and risk factors are still good enough.

For now, however, we won’t care so much about the negatives, but instead

rejoice in the high risk–reward ratios for both the latest portfolios, and an ever-

increasing number of profitable markets. Another cool thing is that this latest ver-

sion of the system, despite a much lower average profit per trade and shorter trade

length, actually nets more money than the original system. This can be estimated

CHAPTER 14 Harris 3L-R Pattern Variation 169

Both sides, 3:1 risk–reward relationship, open excluded PercProf: 64.62

Trades PercWin NetProfit AvgProfit ProfitStD RiskRatio

Average: 115.15 35.31 14,542.14 254.39 Market

St. Dev: 34.97 7.09 39,415.20 356.10 3,022.69 0.08

High: 150.12 42.40 53,957.34 610.49 3,277.08 Portfolio

Low: 80.18 28.22 (24,873.06) (101.71) (2,768.30) 0.71

ProfitFactor RiskFactor MaxDD PercDD PercTime AvgLength

Average: 1.15 0.08 26,899.76 22.43 10.06 3.58

St. Dev: 0.33 0.21 16,040.17 15.27 4.94 1.54

High: 1.49 0.29 42,939.92 37.70 15.00 5.12

Low: 0.82 (0.13) 10,859.59 7.16 5.12 2.04

TABLE 14.5

Testing Short-term Risk–reward Relationship (2)

Long only, 3:1 risk–reward relationship, slightly altered PercProf: 89.23

Trades PercWin NetProfit AvgProfit ProfitStD RiskRatio

Average: 147.09 38.94 49,746.53 357.54 Market

St. Dev: 38.29 6.78 48,002.37 381.51 3,305.8 10. 10

High: 185.39 45.72 97,748.91 739.04 3,663.35 Portfolio

Low: 108.80 32.16 1,744.16 (23.97) (2,948.27) 0.94

ProfitFactor RiskFactor MaxDD PercDD PercTime AvgLength

Average: 1.31 0.17 31,047.12 22.31 14.33 4.10

St. Dev: 0.30 0.17 15,214.45 13.82 5.02 1.65

High: 1.61 0.35 46,261.58 36.14 19.36 5.75

Low: 1.01 0.00 15,832.67 8.49 9.31 2.45

TABLE 14.6

Increasing Number of Trades Generated (1)