Stop-loss Version
Using the stop-loss method, the best version of this system incorporated a stop loss
of 0.6 percent, a profit target of 3.5 percent, and a maximum trade length of three
days, which resulted in a very profitable system, indeed. Table 20.9 shows that this
version of the system makes an average profit of $532, with a risk–reward ratio of
1.46. These good numbers are also confirmed by very high profit and risk factors
and very low standard deviations. Note also that the average trade length is less
than three days, including the weekends and holidays, which means that this sys-
tem will make $200 a day, on average, when in a trade. The percent time spent in
the market also looks low enough to make it possible to combine it with other sys-
tems for a well-diversified portfolio.Trailing-stop Version
Table 20.10 shows that the trailing-stop version of this system is not quite as prof-
itable as the stop-loss version, but it isn’t far from it. Note that this version has a
much wider stop loss combined with only a slightly longer average trade length.
Thus, most losses for this version of the system may come because of the trade-
length stop. Nonetheless, both versions of the system are definitely among the best
versions tested. It only goes to show what one can do with a very basic entry tech-
nique, as long as you keep track of where and when to exit.CHAPTER 20 Adding Exits 249
Long only: 0.6% stop loss,
3.5% profit target, 3 bars max. trade length PercProf: 96.92
Trades PercWin NetProfit AvgProfit ProfitStD RiskRatio
Average: 195.74 41.19 89,268.37 532.72 Market
St. Dev: 59.54 6.89 55,718.56 365.61 2,957.72 0.17
High: 255.28 48.08 144,986.93 898.33 3,490.44 Portfolio
Low: 136.20 34.30 33,549.81 167.11 (2,424.99) 1.46
ProfitFactor RiskFactor MaxDD PercDD PercTime AvgLength
Average: 1.60 0.33 26,910.20 17.66 13.11 2.83
St. Dev: 0.43 0.22 19,000.36 18.08 3.44 0.23
High: 2.03 0.55 45,910.56 35.74 16.55 3.06
Low: 1.17 0.11 7,909.84 (0.41) 9.67 2.60TABLE 20.9
Results of Stop Loss on Expert Exits System