Tables 15.2 and 15.3 show how the original system performed on the long and
the short side, respectively. As you can see, the system is doing very well on the
long side: 93.85 percent profitable markets mean that 61 out of the 65 markets test-
ed profitably, which is very good indeed. That the lower one-standard-deviation
boundaries for the risk and profit factors are well above one and zero, respectively,
confirms that this is a very robust system on the long side.
For the short side, however, the results are less tantalizing. It’s true the sys-
tem is profitable overall, with a healthy 69 percent of the markets producing prof-CHAPTER 15 Expert Exits 177
Original system, both sides PercProf: 89.23
Trades PercWin NetProfit AvgProfit ProfitStD RiskRatio
Average: 297.22 32.52 92,316.40 348.56 Market
St. Dev: 83.60 6.34 90,092.46 328.64 3,485.34 0.09
High: 380.82 38.86 182,408.86 677.21 3,833.91 Portfolio
Low: 213.61 26.18 2,223.93 19.92 (3,136.78) 1.06
ProfitFactor RiskFactor MaxDD PercDD PercTime AvgLength
Average: 1.28 0.18 47,367.80 34.00 30.96 4.32
St. Dev: 0.28 0.18 38,828.29 39.93 9.87 1.32
High: 1.57 0.36 86,196.09 73.93 40.83 5.64
Low: 1.00 (0.00) 8,539.51 (5.93) 21.08 3.00TABLE 15.1
Retesting the Original Expert Exits SystemOriginal system, long only PercProf: 93.85
Trades PercWin NetProfit AvgProfit ProfitStD RiskRatio
Average: 179.46 35.29 87,812.22 563.07 Market
St. Dev: 53.86 7.12 59,499.55 405.02 3,516.35 0.15
High: 233.32 42.41 147,311.78 968.09 4,079.42 Portfolio
Low: 125.60 28.17 28,312.67 158.06 (2,953.28) 1.39
ProfitFactor RiskFactor MaxDD PercDD PercTime AvgLength
Average: 1.49 0.30 31,178.49 21.78 19.14 4.40
St. Dev: 0.39 0.22 19,451.39 19.07 7.19 1.44
High: 1.88 0.51 50,629.89 40.85 26.33 5.84
Low: 1.11 0.08 11,727.10 2.71 11.96 2.96TABLE 15.2
Long-side Trading Using Original Expert Exits System