But even so, Figure 20.10 shows this is not as good a solution as, for exam-
ple, a 2.4 ATR trailing stop combined with a 1 ATR profit target. The main disad-
vantage with the latter combination is, however, that it takes us too far to the right
in the chart, which increases the standard deviation of the profits. A 1 ATR profit
target also doesn’t match as well as a 1.2 ATR trailing stop with what we learned
to be the best solution in Figure 20.11. Lastly, it also gives us a weird risk–reward
relationship going into any individual trade. Therefore, and despite the disadvan-
tages of a 3 ATR profit target and 1.2 ATR trailing stop, it seems to be the best
combination together with the six-day maximum trade length. Sometimes you just
have to make a few compromises.
Table 20.2 shows the result for this version of the system when tested on
our 65 markets. Compared to the version featured in Table 20.1, this version
seems to be a little more profitable, as indicated by the higher profit and risk
factors, but also a little riskier, as indicated by the higher standard deviations for
the same. However, the only reason why this version of the system seems to be
a little more profitable is that it trades a little more often, with 278 trades on
average per market. Strangely, this happens despite a slightly longer average
trade length, which illustrates the fact that there are no sure conclusions to be
made when changing the rules for the system, however small these changes
might be. Note also that because the average profit per trade is almost
unchanged, this version of the system is not as efficient per bars or days in trade
as that in Table 20.1. Nonetheless, we will continue to work with both to see how
they fare in the competition.236 PART 3 Stops, Filters, and Exits
Long only: 1.2 ATR trailing stop,
3 ATR profit target, 6 bars max. trade length PercProf: 93.85
Trades PercWin NetProfit AvgProfit ProfitStD RiskRatio
Average: 278.25 43.94 119,238.87 456.56 Market
St. Dev: 62.58 4.43 82,037.26 345.76 4,877.49 0.10
High: 340.82 48.37 201,276.13 802.32 5,334.05 Portfolio
Low: 215.67 39.51 37,201.61 110.80 (4,420.93) 1.32
ProfitFactor RiskFactor MaxDD PercDD PercTime AvgLength
Average: 1.35 0.18 65,289.25 31.68 34.21 5.09
St. Dev: 0.38 0.16 39,924.48 18.60 4.31 0.23
High: 1.73 0.35 105,213.73 50.28 38.52 5.32
Low: 0.97 0.02 25,364.77 13.08 29.91 4.87TABLE 20.2
Results of Trailing Stop on Hybrid System