a trailing stop of 2.7 ATR. In this case, we will go with the 2.4-ATR stop because
it keeps us closest to the left-hand corner of the chart.
The only not so good thing with the final input values for this system is the
fact that the trailing stop initially is further away from the entry price than the prof-
it target, which in this case results in a risk–reward relationship of approximately
0.8:1 going into the trade (2:2.4). This, of course, is not an ideal situation, but
sometimes we have to work with what we have, so let’s try this system out before
we discard it. Table 20.6 shows the combined results for this version of the system.
When this table is compared to Table 13.5, we see that this version of the sys-
tem generates a slightly higher average profit per trade, but that it also comes with
a slightly higher risk, as illustrated by a slightly lower risk–reward ratio of 0.83
compared to 0.95 in Table 13.5. The risk and profit factors also are slightly lower
than for the original system. All in all, this indicates that the system is doing very
well on some of the markets, but not so well on others. However, the markets that
are producing a profit also do so with a large percentage of profitable trades,
which results in a total of 54 percent profitable trades for all markets, including
the not-so-profitable ones, a very good number indeed.Harris 3L-R Pattern Variation
This was the only system that did not produce profitable results across all variable
combinations. More specifically, the system did not work well with the ATR con-
cept that has worked so well with the previous three systems.CHAPTER 20 Adding Exits 245
Long only: 2.4 ATR trailing stop,
2 ATR profit target, 6 bars max. trade length PercProf: 84.13
Trades PercWin NetProfit AvgProfit ProfitStD RiskRatio
Average: 105.89 54.10 66,831.69 667.86 Market
St. Dev: 27.38 6.23 68,883.10 804.79 5,576.14 0.12
High: 133.27 60.33 135,714.78 1,472.65 6,244.00 Portfolio
Low: 78.51 47.87 (2,051.41) (136.93) (4,908.29) 0.83
ProfitFactor RiskFactor MaxDD PercDD PercTime AvgLength
Average: 1.40 0.16 43,617.24 28.18 15.38 6.17
St. Dev: 0.43 0.17 22,329.77 17.05 2.73 0.21
High: 1.84 0.33 65,947.01 45.23 18.10 6.38
Low: 0.97 (0.01) 21,287.48 11.14 12.65 5.95TABLE 20.6
Results of Trailing Stop on Value-weighted Averages System