/100)^(1/10) 1) * 100], respectively. Now, knowing that both markets currently are
in rather severe drawdowns, we understand that the good years normally are much
better than that, but this is what we can expect the long-term growth of a well-diver-
sified buy-and-hold type portfolio to be, given the last 10 years of market data.
As systems traders, naturally we would like to beat that. But beating the actu-
al return numbers isn’t the only thing we like to do. We also would like to do it
while spending less time in the market, avoiding any 77 percent drawdowns and
generally increasing our wealth at a calmer and steadier pace than the buy-and-
hold strategy. That is, we would like to keep the volatility down to a minimum,
given our desired return on the capital. But sometimes we also need to go the other
way around, and lower our expectations regarding the final return in favor of the
steady but slower equity growth. All this will make sense in Part 4. But to get
there, we first need to come up with a set of systems that work, on average, well
on as many types of markets as possible.Export Code
{1}{Individual market export, with Normalize(True). Set ExportSwitch(True).}
Variable: ExportSwitch(True);
If ExportSwitch = True Then Begin
Variables:
StartPeriod(0), EndPeriod(0), PeriodLength(0), TradeType(""),
NameLength(0), FileString(""), TestString(""), NoTrades(0),
SetExportArray(0), TradeCounter(0), SumProfit(0), MaxProfit(0),
DrawDown(0), MaxDrawDown(0), DDPercent(0), MaxDDPercent(0),
WinningTrades(0), SumTrLen(0), ExportArrayPos(0), PercentInTrade(0),
AverageProfit(0), AverageTrLen(0), SumSquareProfit(0),
StDevProfit(0), RiskRatio(0), PercentWinners(0), ProfitFactor(0),
LosingTrades(0), RiskFactor(0);
{2} Arrays:
TradeProfit[1000](0), TradeLength[1000](0);
{3} If BarNumber = 1 Then Begin
StartPeriod = DateToJulian(Date);
If AllowLong = True Then
TradeType = "Long";
If AllowShort = True Then
TradeType = "Short";
If AllowLong = True and AllowShort = True Then
TradeType = "Both";86 PART 2 Trading System Development