aggressive the system. The most important thing to notice is a risk–reward ratio
for the entire portfolio above one, which means that at least 84 percent (68 32
/ 2) of all trading sequences now have or should have a positive average profit per
trade. This is further confirmed by a positive value for the lower one standard devi-
ation boundary for the risk factor. The profit factor is also at its highest so far at
1.44. I settled for this version of the system before I decided to test both the long
and the short side simultaneously.CHAPTER 8 Hybrid System No. 1 101
Long only: six-day retrace period, six-day slow-trade stop PercProf: 89.06
Trades PercWin NetProfit AvgProfit ProfitStD RiskRatio
Average: 195.73 34.76 139,303.16 857.00 Market
St. Dev: 50.16 5.60 117,466.37 923.85 8,300.17 0.10
High: 245.90 40.36 256,769.53 1,780.85 9,157.17 Portfolio
Low: 145.57 29.16 21,836.79 (66.85) (7,443.17) 0.93
ProfitFactor RiskFactor MaxDD PercDD PercTime AvgLength
Average: 1.41 0.25 78,570.71 36.12 67.56 14.35
St. Dev: 0.50 0.25 42,015.00 21.56 5.96 1.90
High: 1.91 0.50 120,585.70 57.69 73.52 16.26
Low: 0.92 (0.00) 36,555.71 14.56 61.59 12.45TABLE 8.3
Slow-trade Stop at Six DaysLong only: six-day retrace period,
no slow-trade stop, aggressive level three PercProf: 96.88
Trades PercWin NetProfit AvgProfit ProfitStD RiskRatio
Average: 212.14 33.42 162,892.09 923.64 Market
St. Dev: 59.42 4.82 109,794.45 872.67 8,423.52 0.10
High: 271.56 38.24 272,686.55 1,796.31 9,347.16 Portfolio
Low: 152.72 28.60 53,097.64 50.97 (7,499.88) 1.06
ProfitFactor RiskFactor MaxDD PercDD PercTime AvgLength
Average: 1.44 0.28 77,309.40 34.52 71.87 14.30
St. Dev: 0.48 0.25 40,877.93 19.05 5.04 2.62
High: 1.93 0.53 118,187.32 53.56 76.91 16.92
Low: 0.96 0.02 36,431.47 15.47 66.83 11.68TABLE 8.4
Removing Slow-trade Stops