ber of shorter trades, but also an increasing number of losing trades, which would
deteriorate performance somewhat.
As it turned out, Table 8.2 shows that the average trade length did decrease
from 20 days to 15 days, but surprisingly, the percentage of winning trades also
increased to 36 percent, increasing the average net profit to $141,896, despite a
slightly lowered average profit per trade. The profit and risk factors also increased
a little, but what is more important is that all the important standard deviation num-
bers decreased, indicating that the system actually became more reliable.
Of course, these surprisingly positive results prompted a test with an even
shorter retrace period of three days. However, this did not better the results enough
to warrant an even shorter retrace period. Note that I did not test any other retrace
periods than those mentioned. It might be that other retrace periods, surrounding
those tested, might work better.
With the retrace period back at six days, the next step was to once again test
various values for the slow-trade stop. But with the slow-trade stop set to six days,
results did not improve enough, if at all, as Table 8.3 shows. In fact, with a short-
er slow-trade stop only decreasing performance, it is clear that it can be removed
completely, as it has in Table 8.4, which shows that the aggressive level for the
entry also has been increased to a factor of three, meaning the entry will now take
place after only a third of the distance between the lowest low and highest high has
been taken back.
Table 8.4 shows the results for a system based on a six-day retrace period, no
slow-trade stop, and a one-third retracement of the highest-high to lowest-low dis-
tance to trigger an entry. It shows that the results continued to improve the more100 PART 2 Trading System Development
Long only: six-day retrace period PercProf: 90.77
Trades PercWin NetProfit AvgProfit ProfitStD RiskRatio
Average: 187.55 36.08 141,896.16 915.26 Market
St. Dev: 49.77 5.33 119,300.04 958.46 8,510.40 0.10
High: 237.32 41.41 261,196.20 1,873.72 9,425.66 Portfolio
Low: 137.78 30.74 22,596.12 (43.20) (7,595.14) 0.95
ProfitFactor RiskFactor MaxDD PercDD PercTime AvgLength
Average: 1.42 0.25 77,839.56 36.55 68.97 15.35
St. Dev: 0.49 0.25 42,152.75 23.87 6.06 2.10
High: 1.91 0.50 119,992.31 60.42 75.02 17.45
Low: 0.93 (0.00) 35,686.8 1 12.68 62.9 1 13.25TABLE 8.2
Revised Performance Results, with Six-day Retrace Period