Figure 22.3 shows some of the equations needed to calculate most of the sta-
tistics that can be derived from this analysis. In this case, the data are calculated
for 200 trades in 20 sequences. A similar set of calculations is done to calculate
the statistics for 20 trades in 200 sequences. All the calculations in cells E202 to
E213 are copied 20 cells to the right, to cells X202 to X213.
Cell E202 calculates the average profit per trade according to the formula
AVERAGE(E1:E200).
Cell E203 calculates the standard deviations of profits according to the for-
mula STDEV(E1:E200).
Cell E204 calculates the risk-adjusted return according to the formula
E202/E203.
Cell E206 calculates the gross profit according to the formula
SUMIF(E1:E200,">0",E1:E200).
Cell E207 calculates the gross loss according to the formula
SUMIF(E1:E200,"<0",E1:E200).
Cell E208 calculates the profit factor according to the formula
E206/ABS(E207).
Cell E210 calculates the number of winning trades according to the formula
COUNTIF(E1:E200,">0").
Cell E211 calculates the percentage of winning trades according to the for-
mula E210/200*100.
Cell E212 calculates the number of losing trades according to the formula
COUNTIF(E1:E200,"<0").
Cell E213 calculates the risk factor according to the formula
(E206+E207)/ABS(E207/E212*200).
With all the calculations in place we can set up a couple of tables resembling
those we used during the initial system testing, based on the data derived by the
large export function, described in Part 2. Table 22.1 shows that of all 200 trading
sequences holding 20 trades each, used for this example, 75 percent tested prof-
itably. The average profit per trade came out to 448.21, and the profit factor came
out to 2.30.
Table 22.2, on the other hand, shows that of all 20 trading sequences, hold-
ing 200 trades each, 95 percent came out profitable. The average profit per trade
came out to 448.21, and the profit factor came out to 1.77. Note that the average
profit per trade is exactly the same in both tables, because we’re using exactly the
same randomly deducted trades. But even if we’re using the exact same trades, a
higher percentage of profitable sequences occurs in Table 22.2 than in Table 22.1.
The standard deviations for the average profit per trade, and the profit and risk fac-
tors also are much lower in Table 22.2. How can this be? The answer lies in the276 PART 3 Stops, Filters, and Exits