Trading Systems and Money Management : A Guide to Trading and Profiting in Any Market

The average profit per trade for the stop-loss version of the Harris 3L-R

pattern variation isn’t much to brag about either. The difference is, however, that

this system spends less than three days in the market per trade, which makes its

daily return much higher than for a system with the same average profit but more

days in a trade. But even so, comparing Table 21.16 with Tables 20.7 and 21.10,

it’s easy to see that pairing the system with rotation as the filter has deteriorated

268 PART 3 Stops, Filters, and Exits

Volume-weighted average: 2.4 ATR trailing stop,

2 ATR profit target, 6 bars max. trade length PercProf: 65.22

Trades PercWin NetProfit AvgProfit ProfitStD RiskRatio

Average: 32.09 54.44 11,369.15 491.88 Market

St. Dev: 17.49 10.08 26,040.11 979.71 4,787.07 0.08

High: 49.58 64.52 37,409.26 1,471.59 5,278.95 Portfolio

Low: 14.59 44.37 (14,670.95) (487.82) (4,295.19) 0.50

ProfitFactor RiskFactor MaxDD PercDD PercTime AvgLength

Average: 1.43 0.15 20,580.19 17.79 6.45 6.24

St. Dev: 0.80 0.30 12,290.52 11.35 3.26 0.36

High: 2.23 0.45 32,870.71 29.13 9.71 6.60

Low: 0.62 (0.15) 8,289.68 6.44 3.19 5.88

TABLE 21.15

Volume-weighted Averages System Using Rotation as Filter

Harris 3L-R pattern variation: 0.4% stop loss,

3% profit target, 4 bars max. trade length PercProf: 68.00

Trades PercWin NetProfit AvgProfit ProfitStD RiskRatio

Average: 53.48 35.50 9,741.54 166.28 Market

St. Dev: 27.30 10.26 24,440.34 471.66 2,499.11 0.07

High: 80.78 45.77 34,181.88 637.93 2,665.39 Portfolio

Low: 26.18 25.24 (14,698.81) (305.38) (2,332.83) 0.35

ProfitFactor RiskFactor MaxDD PercDD PercTime AvgLength

Average: 1.39 0.19 15,278.38 13.86 4.66 2.77

St. Dev: 0.73 0.42 10,931.42 11.05 1.58 0.28

High: 2.12 0.61 26,209.79 24.92 6.24 3.05

Low: 0.66 (0.23) 4,346.96 2.81 3.08 2.49

TABLE 21.16

Harris 3L-R Pattern Variation Using Rotation as Filter