The strategy was tested with a 1.5 percent risk per trade: when any of the
exits for the trailing-stop version of the system were hit, two-thirds of the position
were exited, corresponding to 1 percent of the original risk. When any of the stop-
loss exits were hit, the position was decreased by what corresponded to 0.5 per-
cent risked of the original position. Using both versions of the system with asym-
metric exit rules helps us make the most out of each trade. In this case, we can take
a profit as soon as one of the stops or one of the profit targets is hit. Thus, we can
remain in the trade with a small position and wait for the market to make the most
out of the entry signal we trust.
Compared to the version in Tables 28.2 and 28.3, this version of the system
does an even better job of cutting losses and letting profits run, which shows in a
lower number of profitable trades (48 percent), but at the same time an even high-
er number of profitable months (69 percent).
The maximum drawdown is also very low, at a modest 10.8 percent, which
is also the drawdown we currently happen to be in. Aside from this drawdown, the
maximum drawdown has rarely surpassed 8 percent. However, despite the fact that
we happen to be in the maximum drawdown, judging from the slope of the equity
curve in Figure 28.3, it doesn’t look like the equity growth has stalled the same as
it has in Figure 28.1, although it is obvious the strategy did slightly better prior to
the current bear market.
The fact that the system currently is in its worst drawdown also indicates
that it is the markets not traded that did the best lately. That is, despite the recent
free-fall in the NASDAQ stocks, it is largely due to the NASDAQ stocks that the
strategy managed to produce the recent equity high in Figure 28.1 and avoid
falling into a new maximum drawdown afterwards. This further confirms the
strategy’s ability to find good, or at least decent, trading opportunities in the
most adverse environments, thus helping us to stay afloat while waiting for bet-
ter times.
Note that the time in the market per symac is approximately 30 percent,
which means that theoretically we need three symacs to be in a trade all the time.
With the fictive fat 1.5 percent and the MMP on average 15 percent away from
the entry price, we can be in 10 trades simultaneously on average. If we multiply
the theoretical number of symacs to track to be in a trade at all times by the num-
ber of symacs we can be in simultaneously, the answer is 30. (I decided to place
the MMP 15 percent away from the entry price based on the assumption that each
symac should spend about 20 percent in the market.)
In this case, we are tracking 56 symacs. Normally, this means that we should
increase the distance between the MMP and the entry price to allow for more open
trades at any one time, but because this strategy consists of two systems with iden-
tical entry rules, we are doing fine. The strategy is doing a good job of balancing
the trade size with the number of markets tracked and the possibility to trade at
any one time.CHAPTER 28 Combined Money Market Strategies 351