average profit per trade, this version of the system calls for a longer maximum trade
length, which will lower the average profit made per bars in trade. The only posi-
tive is that the number of profitable trades is slightly higher, at 44 percent.Expert Exits
Like the Harris system, the expert exits system also worked best using the per-
centage concept. It would be interesting to examine the differences between those
two systems that worked best using the percentage concept, when compared to
those three systems that worked best using the true-range concept. A few obser-
vations can be made right away that could serve as a starting hypothesis for your
own research into this.
One observation is that the systems that worked best with the percentage
concept also are the latest two systems tested, and did best on the short side. It
could be that we are better off using the percentage concept if we would like to
work with identical stop and exit settings for both long and short trades. These two
systems may have worked the best in the bear market simply because there were
plenty of bear markets to test them on.
Another reason why the latest two systems worked best using the percentage
concept could be because they are by far the simplest and most short-term in their
construction, relying on only a few comparisons between the very last bars lead-
ing up to the trade. This also results in the shortest average trade lengths. The exact
reason for this, however, I will leave for you to research. You know almost as much
about these systems now as I do.248 PART 3 Stops, Filters, and Exits
Long only: 2.7% trailing stop,
4.5% profit target, 5 bars max. trade length PercProf: 83.08
Trades PercWin NetProfit AvgProfit ProfitStD RiskRatio
Average: 154.55 44.29 47,503.23 316.53 Market
St. Dev: 37.97 5.83 49,797.29 362.77 3,359.87 0.09
High: 192.52 50.12 97,300.52 679.31 3,676.40 Portfolio
Low: 116.58 38.45 (2,294.06) (46.24) (3,043.34) 0.87
ProfitFactor RiskFactor MaxDD PercDD PercTime AvgLength
Average: 1.30 0.15 33,669.37 24.18 13.11 3.57
St. Dev: 0.33 0.16 17,285.23 16.13 3.51 0.65
High: 1.63 0.32 50,954.59 40.31 16.62 4.22
Low: 0.97 (0.01) 16,384.14 8.05 9.61 2.92TABLE 20.8
Results of Trailing Stop on Harris 3L-R Pattern Variation