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

its trades are more similar looking than those trades generated by the original stop-

loss version of the system. Overall, it’s a matter of personal taste, given that the

average profit per trade needs to be large enough to warrant trading in the first

place. Table 15.6 shows the trailing-stop version of the system traded on the long

side only.

Table 15.7 shows how the trailing-stop version fared when trading the entry

signals at random. Comparing it first to Table 15.4, we can see that it too confirms

CHAPTER 15 Expert Exits 181

Trailing-stop version, long only PercProf: 92.31

Trades PercWin NetProfit AvgProfit ProfitStD RiskRatio

Average: 186.88 34.67 85,459.01 527.49 Market

St. Dev: 53.95 6.80 60,187.21 392.24 3,493.48 0.14

High: 240.83 41.47 145,646.22 919.73 4,020.97 Portfolio

Low: 132.93 27.87 25,271.81 135.26 (2,965.99) 1.34

ProfitFactor RiskFactor MaxDD PercDD PercTime AvgLength

Average: 1.45 0.28 32,835.69 22.37 19.21 4.37

St. Dev: 0.35 0.20 20,403.51 20.14 7.12 1.41

High: 1.81 0.48 53,239.20 42.51 26.32 5.77

Low: 1.10 0.07 12,432.19 2.23 12.09 2.96

TABLE 15.6

Trading Long-side Using Trailing Stop

Trailing-stop version, both sides, random entries PercProf: 86.15

Trades PercWin NetProfit AvgProfit ProfitStD RiskRatio

Average: 171.22 41.28 48,176.37 320.63 Market

St. Dev: 52.87 6.32 54,310.50 357.57 3,002.87 0.10

High: 224.09 47.60 102,486.88 678.20 3,323.50 Portfolio

Low: 118.35 34.96 (6,134.13) (36.94) (2,682.24) 0.90

ProfitFactor RiskFactor MaxDD PercDD PercTime AvgLength

Average: 1.37 0.20 31,269.73 24.64 14.53 3.49

St. Dev: 0.42 0.22 23,582.58 23.00 5.90 1.19

High: 1.79 0.41 54,852.31 47.64 20.42 4.67

Low: 0.95 (0.02) 7,687.15 1.64 8.63 2.30

TABLE 15.7

Random Entry Signals and Trailing Stops