with a stop loss, profit target, and time-based stop, while the other version will
work with a trailing stop, profit target, and time-based stop.
Let’s start the testing procedure using the code given in the next section on
the first of our systems, Hybrid system No. 1, featured in the September 2000
issue of Active Tradermagazine. With four stops and exit versions per system,
comparing all input variables with each other two at a time, looking at three dif-
ferent output variables, this research will produce a hell of a lot of surface charts.
Because of the large number of charts produced for each system, I will describe
the complete process only for one of the two most profitable versions of the first
system. For other versions and systems, I will only briefly comment on the result
and illustrate it with a chart or two and a few summary tables.
The research is only performed on the five short-term systems that don’t
depend on any intermarket relationships. These five systems are Hybrid system
No. 1; Meander system, V.1.0; volume-weighted average; Harris 3L-R pattern
variation; and expert exits. The other three systems, RS system No. 1, Relative
strength bands, and Rotation, will be filter-tested later.Surface Chart Code
{Export for finding optimal stops with surface charts in Excel.
{1} Set SurfaceChartTest(True)}
Variable: SurfaceChartTest(True);
If SurfaceChartTest = True Then Begin
{2} Inputs:
TestRunVar(1), StopTypeVar(1), StopLossVar(1), ProfTargVar(4.5),
TrailStopVar(0), MaxBarsVar(8);
Variables:
SCT.LongLoss(0), SCT.ShortLoss(0), SCT.LongTrailing(0),
SCT.ShortTrailing(0), SCT.LongTarget(0), SCT.ShortTarget(0),
SCT.TrueLength(0), EP(0), SCT.TRLoss(0), SCT.TRTarget(0),
SCT.TRTrailing(0);
{Code for stop type 1 (percentage stops) goes here, see below. Set
StopTypeVar(1)}
{Code for stop type 2 (true-range stops) goes here, see below. Set
StopTypeVar(2)}
Variables:
SCT.TradeType(""), SCT.NameLength(0), SCT.StopType(""),
AvgTradeVar(0), StDevVar(0), NoTradesVar(0), PercWinVar(0),
SCT.MarketPos(0), SCT.PosProfit(0), SCT.SetArrayPos(0),
SCT.SumProfit(0),220 PART 3 Stops, Filters, and Exits