the really good stuff is that this improvement also increased the robustness and
reliability of the system. The risk–reward relationship is now at 1.11, which means
that more than 84 percent of all trading sequences now can be expected to produce
a profit. This is further indicated by the lower one standard deviation levels for the
profit and risk factors, which are above one and zero, respectively.
As a final step in this research process, I decided to review the lookback peri-
od for the meander calculations, by increasing it to 10 days. Table 10.5 shows that
this too improved the results quite considerably. Again, this is most notable whenCHAPTER 10 Meander System V.1.0 117
Long only: Higher target, no slack period PercProf: 80.00
Trades PercWin NetProfit AvgProfit ProfitStD RiskRatio
Average: 357.23 50.52 108,822.59 354.08 Market
St. Dev: 92.41 3.12 117,386.63 392.64 5,846.09 0.06
High: 449.64 53.64 226,209.22 746.72 6,200.17 Portfolio
Low: 264.82 47.40 (8,564.04) (38.56) (5,492.01) 0.90
ProfitFactor RiskFactor MaxDD PercDD PercTime AvgLength
Average: 1.17 0.08 89,412.68 46.11 68.12 8.02
St. Dev: 0.20 0.09 43,735.98 32.16 4.01 1.43
High: 1.38 0.18 133,148.65 78.27 72.12 9.45
Low: 0.97 (0.01) 45,676.70 13.95 64.11 6.58TABLE 10.3
Removing Slack PeriodLong only: Higher target,
no slack period, one down day PercProf: 86.15
Trades PercWin NetProfit AvgProfit ProfitStD RiskRatio
Average: 224.11 53.70 108,022.77 559.05 Market
St. Dev: 60.62 3.74 97,584.38 504.25 5,541.34 0.09
High: 284.72 57.44 205,607.15 1,063.30 6,100.39 Portfolio
Low: 163.49 49.97 10,438.40 54.80 (4,982.29) 1.11
ProfitFactor RiskFactor MaxDD PercDD PercTime AvgLength
Average: 1.30 0.13 61,157.25 33.37 39.46 7.36
St. Dev: 0.27 0.12 31,606.34 23.46 4.58 1.17
High: 1.56 0.25 92,763.59 56.83 44.03 8.53
Low: 1.03 0.01 29,550.90 9.90 34.88 6.19TABLE 10.4
New Criteria Added