Trading Systems and Money Management : A Guide to Trading and Profiting in Any Market

also increased to about 13 days. The bad news is that risk–return ratio decreased a

little, as did the number of profitable markets.

Increasing the lookback even further, to 50 days, continued to increase the

average profit and the profit and risk factors. The risk–return ratio also increased

somewhat, but not enough to take us back to what we had in Table 9.2. This tells

us that increasing the lookback period is not the best way to go. Another way to

make the average trade length longer is to make it easier for an individual stock to

108 PART 2 Trading System Development

Long only: No stop loss PercProf: 80.00

Trades PercWin NetProfit AvgProfit ProfitStD RiskRatio

Average: 405.55 40.39 82,811.65 229.77 Market

St. Dev: 74.96 3.55 98,064.36 278.19 5,130.55 0.04

High: 480.5 143.95 180,876.0 1507.96 5,360.32 Portfolio

Low: 330.59 36.84 (15,252.70) (48.42) (4,900.78) 0.83

ProfitFactor RiskFactor MaxDD PercDD PercTime AvgLength

Average: 1.14 0.08 94,117.39 48.08 61.53 6.18

St. Dev: 0.16 0.10 50,003.95 26.36 1.65 0.37

High: 1.30 0.18 144,121.34 74.44 63.18 6.55

Low: 0.98 (0.01) 44,113.43 21.73 59.89 5.81

TABLE 9.2

Removing the Stop Loss

Long only: No stop loss, 20-day lookback PercProf: 75.00

Trades PercWin NetProfit AvgProfit ProfitStD RiskRatio

Average: 184.30 36.86 114,309.41 761.90 Market

St. Dev: 40.05 5.01 144,384.69 1,048.93 8,696.44 0.07

High: 224.35 41.87 258,694.10 1,810.84 9,458.34 Portfolio

Low: 144.25 31.86 (30,075.27) (287.03) (7,934.53) 0.73

ProfitFactor RiskFactor MaxDD PercDD PercTime AvgLength

Average: 1.33 0.20 80,636.09 44.10 58.36 13.07

St. Dev: 0.40 0.24 38,344.13 28.01 3.53 1.73

High: 1.73 0.44 118,980.21 72.11 61.89 14.80

Low: 0.93 (0.04) 42,291.96 16.09 54.82 11.34

TABLE 9.3

Twenty-day Relative Strength Lookback